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Date/Time: Mon, 22 Jan 2018 16:35:33 +0000



Post From: VWAP not matching data

[2017-12-06 04:19:38]
trader1 - Posts: 105
Well, I don't even know if IB offers a VWAP indicator on their charts because I consider their charts so bad as to be essentially unusable. I have noticed though that IB's VWAP number on TWS is different than the one on sierra chart charts even though sierra chart is being fed from IB data.

The video you linked above indicates that IB's VWAP figure is incorrect and I have seen it vary with other feeds and am not always sure which figure is the correct one.

I was mainly wondering why the sierra chart's VWAP indicator is different than IBs when the data that it is derived from is coming from IB but I guess they are each using their own algorithm to determine VWAP.

I guess I will do a more thorough comparison between various data feeds to see who appears to be displaying the correct VWAP calculation.

Thanks.