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Direct MessagesDate/Time: Thu, 25 Apr 2024 23:04:45 +0000
Daily VWAP values
View Count: 1527
| [2016-01-11 17:56:54] |
| Johnny - Posts: 99 |
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Hello, I use intraday daily charts with a setting of 1440 minutes and I apply the VWAP rolling study to them. However, there are discrepancies between the 1 Bar and 1 Day time period types. I would expect them to be identical.
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| [2016-01-11 18:08:22] |
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This very well could be because Saturday and Sunday are going to skipped. So if there are any bars with a Sunday timestamp this will be a problem. Therefore, use a time period of 1 Bar. 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: 2016-01-11 18:08:51
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| [2016-01-11 20:30:09] |
| Johnny - Posts: 99 |
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This could be the case for Monday candles only, however the differences are apparent on all bars. There seems to be an error in the calculation method for days for both the VWAP and VWAP rolling studies. The VWAP daily values between the VWAP and VWAP rolling studies are also different.
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| [2016-01-16 21:27:45] |
| Johnny - Posts: 99 |
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Support, have you looked into this?
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| [2016-01-16 22:07:20] |
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Yes. Please allow us another week.
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 |
| [2016-01-29 22:46:57] |
| Al SC Developer - Posts: 434 |
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This is addressed in next version.
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| [2016-02-24 23:25:26] |
| Johnny - Posts: 99 |
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Hello, I'm using version 1371 and the new option "Exclude weekends in day count" for the VWAP rolling study doesn't seem to work. I set this option to yes and each Monday, the 2 Day value is not the same with the 2 Bar value but it equals the 1 Bar/Day VWAP value. This shows that weekends are not excluded from calculations.
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| [2016-02-25 03:26:08] |
| Al SC Developer - Posts: 434 |
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We have confirmed this, and it will addressed in the next version.
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