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VWAP- Rolling & Volume by price

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[2016-04-21 03:21:46] #1 [Go To First Post]
Neo - Posts: 198
The rolling VWAP study has the input to "exclude weekends in date look back", however, it's not coded to factor in Holidays, eg Good Friday, March 25, so weekends with an extra day will falsify the study. See pic attached using a 2day VWAP in Red, and the pink line showing what a 2day VWAP should have looked like from the 24th. This is problematic to hard code since the dates can change each year, and global markets have different holidays etc. However, is possible to add multiple manual inputs to the study so users have the ability to select which additional days they want to exclude from the calculation? Also, could the input to "exclude weekends in date look back" be added to the Volume by price/ Volume value area lines study. Thanks


2day VWAP.png / V - Attached On 2016-04-21 03:13:43 UTC - Size: 95.54 KB - 1382 views

[2016-04-21 04:10:02] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We recommend that you hire a programmer to add the capabilities you want to the study. The source code is provided. Also, could the input to "exclude weekends in date look back" be added to the Volume by price/ Volume value area lines study. Definitely not because these studies do not work like the Volume Weighted Average Price-Rolling works. And that type of behavior would never be added to these studies. It makes no logical sense for these types of studies. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-04-21 04:16:22

[2016-04-21 04:32:33] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Have a look at this page for instructions to locate the source code: https://www.sierrachart.com/index.php?page=doc/doc_BuildCustomStudiesDLL.html Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-04-21 04:55:21] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Also, could the input to "exclude weekends in date look back" be added to the Volume by price/ Volume value area lines study. Actually this is already the case with these particular studies when they are referencing prior periods of time. So we assume that you are referring to skipping over a partial time segment which these studies are not designed to do. They skip entire time segments. Not partial time segments. This is the key difference compared to the Volume Weighted Average Price-Rolling study. And it is this behavior which we would not apply to the Volume by Price study. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-04-22 05:47:44

[2016-04-21 05:17:56] #5 [Go To First Post]
Neo - Posts: 198
Definitely not because these studies do not work like the Volume Weighted Average Price-Rolling works. And that type of behavior would never be added to these studies. It makes no logical sense for these types of studies. Never been added? You already have this setup. I just don't want weekend dates to be included, you know, days when stocks don't actually trade. Does that make logical sense? I'm referring to constructing a volume by price study that, for example, is based on the last 2 days( So it will include data from the previous day & the developing day). You can already create this now, however, as far as I'm aware the weekends can not be excluded from the calculation- Hence, why I'm asking if you can please add the input to "exclude weekends in date look back" as you have done with the rolling vwap study. If this can already be achieved now, then please refer me to the documentation. Thanks

[2016-04-21 05:23:02] #6 [Go To First Post]
Neo - Posts: 198
We recommend that you hire a programmer to add the capabilities you want to the study. The source code is provided. Ok, thanks.

[2016-04-22 05:45:21] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
I'm referring to constructing a volume by price study that, for example, is based on the last 2 days( So it will include data from the previous day & the developing day). You can already create this now, however, as far as I'm aware the weekends can not be excluded from the calculation- Hence, why I'm asking if you can please add the input to "exclude weekends in date look back" as you have done with the rolling vwap study. If this can already be achieved now, then please refer me to the documentation. Yes this can be achieved now and we need to document how this works. Check back in about a day. However, is possible to add multiple manual inputs to the study so users have the ability to select which additional days they want to exclude from the calculation? There may be another way we can do this. We will look into it. Do not spend anything further time on it yourself. We will get back to you in a week or two. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-04-23 00:18:53] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Here is the relevant documentation: https://www.sierrachart.com/index.php?page=doc/doc_VolumeByPrice.php#NumOfPeriodsBackToReference There is a new Input Minimum Time Period % for Reference Days Back which is supported in the latest release. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-04-23 00:19:13

[2016-04-30 19:55:52] #9 [Go To First Post]
Neo - Posts: 198
Thanks for this. Appreciated. However I can't seem to get it working, I'm running V1402, I've tried with prior releases aswell. For example, I set reference period to 1, using multiple profiles based on a fixed time of 2 days, with min time period & reference for days back set to 25. I end up with profiles that look they have been drawn correctly, however, they are only partial profiles. When you examine them the VPOC is incorrect. Perhaps I've misunderstood the documentation. I've played around with different setting and still can't seem to get a 2-day profile functioning correctly( based on previous day & developing day)

[2016-05-02 18:04:39] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The study is not designed for this: I've played around with different setting and still can't seem to get a 2-day profile functioning correctly( based on previous day & developing day) Since the study is not designed for this we cannot help you with this. Also with what you want to do, you need to set Number of Periods Back to Reference to 0. It works with fixed time segments and does not have the ability to skip days. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-05-06 05:42:33] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We want to follow up with this again. One thing we can do is support a single period based upon days at the end of the chart of the specified Time Length and have it automatically skip days that do not exist. The rolling VWAP study has the input to "exclude weekends in date look back", however, it's not coded to factor in Holidays, eg Good Friday, March 25, so weekends with an extra day will falsify the study. We also need to update VWAP-Rolling study to automatically skip periods where there is no data, by using a percentage. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-05-06 05:43:02

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