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Post From: VWAP and Standard Deviation Lines

[2016-12-14 05:13:30] Link To Thread - Link To Post [Go To First Post]
Neo - Posts: 198
On 12-7 I noticed an anomaly in SPY( using IQ feed data )- I only noticed it because I use a study that measures relative time spent outside of VWAP deviation bands. Shortly after the open the Deviation bands merged into VWAP( Based on the SC VWAP study)- Using the ECI Vwap study showed a completely different result, however, later in the day both SC VWAP & ECI are correlated almost 1-1. -See attachment- IQ Feed Data SPY 10sec 12-7 I then ran the same scenario using SC data- Here the Deviation bands didn't merge into VWAP, however, they still show a different result vs ECI -See attachment- SC Data SPY 10sec 12-7 Exacting data out from Deviation band 1 you can see there is an obvious dispersion between SC VWAP & ECI VWAP using both IQfeed & SC data, and an even greater dispersion when using IQ feed data. *What's interesting though is that there's a strong correlation between ECI Vwap based on both IQ feed & SC data.* - See attachment- Dev Band Comparison In all examples SC VWAP & ECI Vwap are based on underlying data. Date Time Of Last Edit: 2016-12-14 05:16:29*


IQ Feed Data SPY 10sec 12-7.png / V - Attached On 2016-12-14 05:00:23 UTC - Size: 100.45 KB - 444 views SC Data SPY 10sec 12-7.png / V - Attached On 2016-12-14 05:00:27 UTC - Size: 99.12 KB - 962 views Dev Band Comparison.png / V - Attached On 2016-12-14 05:00:31 UTC - Size: 159.79 KB - 483 views