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Direct MessagesDate/Time: Sun, 05 May 2024 16:03:11 +0000
Post From: VWAP Difference
| [2014-07-25 00:45:58] |
| User82828 - Posts: 44 |
|
I have also differences for the VWAP and 1st Standard deviation high/low when trading the dax future. I use IQfeed as datafeed. So if I compare a 5-min and 4-min chart, the VWAP and the upper and lower 1st Standard deviation is different on both charts by up to 1-6 ticks. The value for "Based on Underlying Data" is set to "No", which is the default, so then the price and volume of the calculations is based on the bars in the chart according to your technical referenence at your homepage. With this information I can a little bit understand the difference, despite the fact that the VWAP and standard deviation are variables, which do not depend on time and should therefore generally not depend and differ on the selected 4min or 5 min bartime or chart. Then I changed the settings for "Based on Underlying Data" to "yes" so that the time period type and Time Period lenght is ignored according to your technicsl reference on the SC homepage. However, today the dax showed in the 5min Chart and 4min Chart with these settings also in the first hour and later a difference of up to 6 ticks for 1st Standard deviation (std. Deviation Distance Multiplayer was set to "1"). How can this be? Which Value for the VWAP and standard deviations are correct and which settings do you recommend. Why is there a difference even if use the "yes" settings for "Based on Underlying Data"? Generally the VWAP and standard Deviation are not depending on any time settings, so in general, they should be equal on all time frames for one day, right? |