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Direct MessagesDate/Time: Mon, 06 May 2024 18:08:04 +0000
Post From: Data from IB: Rolling VWAP or ES bug
| [2015-08-21 06:43:54] |
| User93577 - Posts: 5 |
|
Hello. I have Interactive Brokers as a third party data provider for my Sierra Chart. When using the vwap study since 1 july, volume data is corrupted or seemingly very reduced. For instance, in this attached photo the bottom volume study is hardly reporting volume, however, if you "zoom" in to say 50 day or 25 day study, the volume is enough to move the vwap bands. 100d of input on the vwap is broken. 200d and up to 1 year will report proper vwap bands until 1 july, when they start forming even lines (which are poor resistance and support lines as they don't seem to use underlying data). I've also noticed another vwap study change which I hope you will fix. The rolling vwap refuses to use data prior to 2009. It doesn't seem to care which start data you select, as it will pick 2009 regardless. Even when you have data down to 2000. I hope you can fix this prior error, as the 12 year historical vwap has proven to be immensely accurate in predicting support lines. An example is the jan-feb bottom of crude of around 44. On the 12 year historical vwap this was precisely the -2 dev line. With todays version of the rolling vwap, the picture is completely different as it does not use all the available data. (Crude 12 year vwap as calculated using different a different data source, and today using the same source the vwap length is not correct and therefor the support lines are not useable). Date Time Of Last Edit: 2015-08-21 06:44:48
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 vwap-bugged.png / V - Attached On 2015-08-21 06:38:02 UTC - Size: 39.52 KB - 540 views |