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Direct MessagesDate/Time: Fri, 26 Apr 2024 10:28:20 +0000
Data from IB: Rolling VWAP or ES bug
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| [2015-08-21 06:43:54] |
| User93577 - Posts: 5 |
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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 |
| [2015-08-21 06:51:00] |
| User93577 - Posts: 5 |
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Here is a look at 200 days of data using the rolling vwap on ES september 2015 contract from IB. Prior to juli, data has been rolled over to this contract. I have several times deleted the data from juli and out, but it's the same. The bottom volume summation study reports the volume, as we see it is lacking. Date Time Of Last Edit: 2015-08-21 06:52:01
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| [2015-08-21 07:32:13] |
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The support request is very confusing and hard to understand and we cannot provide direct help with it since we do not have the data that you are basing the study on and there is a large assortment of statements which are extremely difficult to understand and answer. The Volume Weighted Average Price - Rolling study does work properly. However, we will check it just to be sure. Therefore, there must be some problem with the underlying data in the chart. So you need to remove all studies from the chart. Add the Volume study and look at the Volume for each bar and the values of those bars and make sure the data is as you expect and is correct for each and every bar in the chart. Also, it is not within the scope of our support to help a user with loading 12 years of Intraday data in a chart doing long-term volume calculations. Additionally, this kind of analysis you are doing is pointless using Interactive Brokers data. Although if you have Sierra Chart service package 3, you will have access to the Sierra Chart Historical Data Service and can do accurate analysis using that data. However, the historical data goes back to only about 2009. Also the only acceptable method to provide a chart is the method documented here: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image If you really want to know the truth, this support request is not even taken seriously. Do you really expect us to figure all this out? We will not. But basically we can see that the fundamental problem is that the underlying data is not what you require and you do not realize the massive complexity involved in accomplishing these kinds of calculations. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-21 07:41:42
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| [2015-08-21 08:10:14] |
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When performing long-term analysis on futures contracts it is necessary to use a Continuous Futures Contract chart which is documented here: https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html However, it is essential to subscribe to Sierra Chart service package 3 for the necessary data for this feature. Using Sierra Chart service package 1 with Interactive Brokers is completely hopeless to accomplish this. This is one of the reasons, why we were in absolute disbelief with your first post, with what you are trying to do with Interactive Brokers data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-08-21 08:23:11] |
| User93577 - Posts: 5 |
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Thank you for the reply. I will have a look at using the software more correctly.
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