Support Board
Date/Time: Thu, 28 Nov 2024 18:52:27 +0000
VWAP and Rolling VWAP
View Count: 827
| [2023-04-04 18:07:51] |
| VolTrader73 - Posts: 136 |
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Hello. I tried using the VWAP rolling instead of the VWAP on a 3 min intraday chart with same inputs (see attached screens named accordingly) . In both cases there are pair of the same indicators (one for Ask volume and one for Bid volume). I thought Id get a better more accurate result with the Rolling-Vwaps based on their description. What I get with the pair of Rolling VWAPS is the same value for both the bid volume and the ask volume (I let this run for 30 minutes before posting this support just to make sure). Why wouldn't the rolling version of the VWAP give 2 values of the results like the regular VWAP pair do? Sure there is a difference between the Ask volume based and the Bid volume based just like the chart with the regular VWAP has. What should I input in the chart using the Rolling VWAPS to get each value properly plotting and fluctuating ? Please advise, *although each screen shot with the charts show only one type of VWAPs, on each chart there are a pair of the same yet as mentioned, on the VWAP pair show correctly two values. *Also included a screen of the data feed set-up to TICKs to make sure. Date Time Of Last Edit: 2023-04-04 19:20:26
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 NON Rolling-Screenshot 2023-04-04 204806.jpg / V - Attached On 2023-04-04 17:59:59 UTC - Size: 167.85 KB - 153 views Rolling-Screenshot 2023-04-04 204806.jpg / V - Attached On 2023-04-04 18:00:05 UTC - Size: 235.44 KB - 140 views DATA-Screenshot 2023-04-04 210047.jpg / V - Attached On 2023-04-04 18:01:14 UTC - Size: 74.65 KB - 137 views |
| [2023-04-04 18:08:47] |
| VolTrader73 - Posts: 136 |
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Please also find attached the chart configuration
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| Bar period - Screenshot 2023-04-04 210700.jpg / V - Attached On 2023-04-04 18:08:26 UTC - Size: 165.61 KB - 113 views Data limiting - Screenshot 2023-04-04 210636.jpg / V - Attached On 2023-04-04 18:08:30 UTC - Size: 157.77 KB - 127 views |
| [2023-04-04 21:18:51] |
| John - SC Support - Posts: 36350 |
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The Inputs you are changing are different between the studies. In the VWAP, the Input you are changing to use the Bid/Ask Volume is Volume Type to Use, which defines whether you are using Total Volume, Bid Volume, or Ask Volume for the volume part of the calculation. Whereas the VWAP-Rolling does not have this Input, so you are changing the Input Data, which defines where the Price information comes from, which for the Bid and Ask is going to be the same price for any particular bar. We will see if we can quickly change the VWAP-Rolling to have the same Input option. We will let you know in this post if we can or can not take care of it right away. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-04-05 05:43:29] |
| VolTrader73 - Posts: 136 |
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Ok, great! , thank you
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| [2023-04-05 17:47:07] |
| John - SC Support - Posts: 36350 |
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We have added the option to use Bid Volume or Ask Volume in addition to Total Volume for the Volume to Use. Note that this will only work if you set the option for "Use Underlying Data" to "Yes". This will be in the next Pre-Release (version 2490) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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