Support Board
Date/Time: Fri, 09 May 2025 15:52:01 +0000
Wrong VWAP
View Count: 2071
| [2015-12-21 15:43:25] |
| FedeM - Posts: 13 |
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Hello. I am getting wrong VWAP calculations all the time. My quotes come from Interactive Brokers. When I right click and "Delete all data and download", it does goes through that process and corrects the VWAP. The problem is that I can't do that every single time, so I just can't trust VWAP any more. Wrong VWAP has already lead me to many bad trades that I wouldn't have taken with the correct information. Is there any fix to this? Here is an example where the difference is small: Before downloading data again: http://prntscr.com/9gtwhg After downloading data again: http://prntscr.com/9gtwt5 |
| [2015-12-21 18:07:21] |
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For complete, accurate and stable market data for US stocks when using Interactive Brokers, use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed 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 |
| [2015-12-22 13:24:29] |
| FedeM - Posts: 13 |
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I get the quotes correctly, but VWAP is not calculated automatically after every candle. Sometime I just get a straight line and VWAP remains the same value, while quote and volume data keeps coming in. When I "delete all data and download", I get the same quotes I had before, but the VWAP recalculates and fixes the curve. |
| [2015-12-22 15:08:12] |
| FedeM - Posts: 13 |
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More examples from today.
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 esrx before.JPG / V - Attached On 2015-12-22 15:07:48 UTC - Size: 81.08 KB - 318 views esrx after.JPG / V - Attached On 2015-12-22 15:07:59 UTC - Size: 83.78 KB - 348 views |
| [2015-12-22 18:07:06] |
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Do you notice a change with the Volume Weighted Average Price line when you select Chart >> Recalculate? If not, then it is automatically recalculated. Therefore, problem is the underlying data from Interactive Brokers. We did not look at any further examples because we know there is no problem with the study. We have verified that just now. 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: 2015-12-22 18:16:04
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| [2015-12-22 18:15:24] |
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Correction to prior post: If not, then it is automatically recalculated. Therefore, problem is the underlying data from Interactive Brokers.
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 |
| [2015-12-22 18:15:33] |
| FedeM - Posts: 13 |
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I just used the Chart>>Recalculate (reload and recalculate) with ESRX, it didn't fix the VWAP. When I deleted+downloaded data, it got fixed. ESRX 2 Min #2 | Reloading chart. | 2015-12-22 13:13:07 Intraday data recording state for symbol ESRX is set to download 'Pending'. | 2015-12-22 13:13:11 Reloading all charts with filename: ESRX.scid | 2015-12-22 13:13:11 HD Request # 291 | Downloading Intraday chart data for ESRX to the file ESRX.scid. Service: equities.us | 2015-12-22 13:13:11 HD Request # 291 | Download start Date-Time: 2015-06-19 14:13:11.000 | 2015-12-22 13:13:11 HD Request # 291 | Using server: scdf1.sierracharts.com port 10149 | 2015-12-22 13:13:11 Socket (0) | Resolved address ds6.sierracharts.com to IP 8.18.161.131 | 2015-12-22 13:13:11 Socket (277) | Connected. | 2015-12-22 13:13:11 HD Request # 291 | Sending historical data logon request message. | 2015-12-22 13:13:11 ESRX 15 Sec #1 | Reloading chart. | 2015-12-22 13:13:11 ESRX 15 Sec #1 | Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\ESRX.scid | 2015-12-22 13:13:11 ESRX 5 Min #3 | Reloading chart. | 2015-12-22 13:13:11 ESRX 5 Min #3 | Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\ESRX.scid | 2015-12-22 13:13:11 HD Request # 291 | Requesting Intraday data. Start Date-Time: 2015-06-19 14:13:11. Record interval: 1. Symbol: ESRX | 2015-12-22 13:13:11 ESRX 2 Min #2 | Reloading chart. | 2015-12-22 13:13:11 ESRX 2 Min #2 | Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\ESRX.scid | 2015-12-22 13:13:11 HD Request # 291 | Decompressing data. | 2015-12-22 13:13:11 HD Request # 291 | Receiving Intraday data for ESRX starting at 2015-06-19 14:14:00 | 2015-12-22 13:13:11 HD Request # 291 | Timestamp of first Intraday data file record written: 2015-06-19 14:14:00 | 2015-12-22 13:13:11 Socket (277) | Shutdown and closed. | 2015-12-22 13:13:19 The network socket for historical data has been closed. | 2015-12-22 13:13:19 HD Request # 291 | Received 468852 records from 2015-06-19 14:14:00 to 2015-12-22 12:58:11 (186.0 days) and wrote 468852 records for ESRX | 2015-12-22 13:13:19 HD Request # 291 | Intraday download COMPLETE for ESRX. Completion time: 8s. Unique request ID: 306 | 2015-12-22 13:13:19 Removed historical data download ID 306 | 2015-12-22 13:13:19 Real-time Intraday chart data file updates started for ESRX | 2015-12-22 13:13:19 Intraday data recording state for symbol ESRX is set to download 'Pending'. | 2015-12-22 13:13:19 HD Request # 292 | Downloading Intraday chart data for ESRX to the file ESRX.scid. Service: ib | 2015-12-22 13:13:19 HD Request # 292 | Download start Date-Time: 2015-12-22 12:58:11.000 | 2015-12-22 13:13:19 HD Request # 292 | Requesting a total of 0 days and 5708 seconds. | 2015-12-22 13:13:19 HD Request # 292 | IB Backfill - Seconds requested: 5708. Seconds Remaining: 0. | 2015-12-22 13:13:19 HD Request # 292 | Requesting 5708 Seconds of data at 30 secs with ending Date-Time at 2015-12-22 14:23:19 for ESRX | 2015-12-22 13:13:19 HD Request # 292 | Processing historical data message from TWS | 2015-12-22 13:13:19 HD Request # 292 | Receiving Intraday data for ESRX starting at 2015-12-22 12:48:30 | 2015-12-22 13:13:19 HD Request # 292 | Timestamp of first Intraday data file record written: 2015-12-22 12:58:30 | 2015-12-22 13:13:19 HD Request # 292 | Received 51 records and wrote 30 records from 2015-12-22 12:48:00 to 2015-12-22 13:13:00. | 2015-12-22 13:13:19 HD Request # 292 | Received 51 records from 2015-12-22 12:48:30 to 2015-12-22 13:13:00 (24.5 minutes) and wrote 30 records for ESRX | 2015-12-22 13:13:19 HD Request # 292 | Intraday download COMPLETE for ESRX. Completion time: 0s. Unique request ID: 307 | 2015-12-22 13:13:19 Removed historical data download ID 307 | 2015-12-22 13:13:19 Real-time Intraday chart data file updates started for ESRX | 2015-12-22 13:13:19 |
| [2015-12-22 18:17:39] |
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OK at this point we are not going to waste any further time on this and we do not want to waste your further time. Our time is extremely valuable and we have no interest whatsoever with wasting time over a typical Interactive Brokers issue. The problem is with Interactive Brokers data as you have determined. We will not respond further here unless there is a new question. 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 |
| [2015-12-22 18:19:59] |
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Also take note of post #6. And our original answer at post #2.
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 |
| [2015-12-22 18:29:41] |
| FedeM - Posts: 13 |
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I agree. Anyway, there is no need to be rude, as you were very rude. |
| [2015-12-22 18:41:22] |
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Honestly, we are not going to reword what we said, and if you rate what we said as "rude" then so be it. We are tired of Interactive Brokers problems and we are going to tell it like it is. We are not going to be polite here. We are honest and to the point. You are speaking directly to the engineers here. 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: 2015-12-22 18:41:53
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| [2015-12-22 18:46:49] |
| FedeM - Posts: 13 |
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Well you took the time to narrow the problem down and show it was IB's fault. I am not IB, and am tired of their problems too. So you could have ended this in a very good note. Not sure why you didn't. So be it. |
| [2015-12-22 18:55:10] |
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Another thing you can do is set the Base on Underlying Data input with the Volume Weighted Average Price study to No. That will give you a more stable result. Also, it is not a matter of assigning "fault" as there is a reason why Interactive Brokers data is the way it is. It is a matter of making it clear where the issue is and what the solution is as quickly as possible without a long back-and-forth communications struggle. 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: 2015-12-22 18:56:21
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