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VWAP Rolling not updating correctly (vers 1553)

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[2017-05-05 13:03:24] #1 [Go To First Post]
psavi73 - Posts: 39
Version:1553 Time Zone: London Input of VWAP rolling function: Input Data: Last Base On Underlying Data: Yes Time Period Type: Days - Trading Days (with Days - 24 Hour period the result is the same) Time Period Lenght: 7 Number of Days to Calculate: 7 Exclude Weekends in Date Look Back: No Minimum Required Time Period as Percent for Skip Days: 25 Standard Deviation Bands are ignored, i.e. only VWAP is plotted. The new values of the VWAP seems to be not present in the graph: http://www.sierrachart.com/image.php?Image=149398843818.png But if the verticale scale is increased, we can see that the new values are created around 1555 instead of 2384: http://www.sierrachart.com/image.php?Image=1493988468835.png When I'm trading/working, I have to refresh regurarly the function (I enter in the study settings and I do "Apply" and then "OK", so when I come back to the graph the function restarts) in order to overcome this problem.

[2017-05-05 13:19:22] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are still working on the study in version 1553. What we are doing is efficiency improvements. The study might not work properly in all cases. We will finish with it today. 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: 2017-05-08 22:28:16

[2017-05-08 21:49:53] #3 [Go To First Post]
psavi73 - Posts: 39
When are you goning to release a version with rolling VWAP function properly working?

[2017-05-08 22:27:52] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We cannot reproduce the problem. And we can see no reason for the issue either. We will have a new release out in another day. If you still have a problem with that release, we will need to get your Chartbook for testing. 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

[2017-05-09 08:56:51] #5 [Go To First Post]
psavi73 - Posts: 39
From your previous reply ("The study might not work properly in all cases."), you seem to be aware that the rolling VWAP study doesn't work correctly and now you give me such kind of reply. I'm really astonished!!! Usually your support replies in proper and logic way, but sometimes some of you seems to give replies without any kind of sense. It's not fair that the good job made by the most of you is completely destroyed by some elements.

[2017-05-09 14:29:03] #6 [Go To First Post]
psavi73 - Posts: 39
The problem is still present also in version 1554. I'm waiting your instruction to send you my Chartbook.

[2017-05-09 15:19:41] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
From your previous reply ("The study might not work properly in all cases."), you seem to be aware that the rolling VWAP study doesn't work correctly and now you give me such kind of reply. I'm really astonished!!! Clearly you have a misunderstanding. At the time we did a release of prerelease 1553, we were still working on the study so we thought that there could be a problem, but after further review and testing, there were no problems identified and everything was working properly. Nevertheless, just in case there was some difference between 1553 which we released earlier and the build we were testing, we wanted you to test on 1554 which we released yesterday. Post your Chartbook containing the single chart with the VWAP study, following these instructions here: Support Board Posting Information: Providing Chartbook with Only a Single Chart 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: 2017-05-09 15:20:46

[2017-05-09 15:43:15] #8 [Go To First Post]
psavi73 - Posts: 39
The Chartbook has been attached. As you can see, new points of the VWAP and its standard deviations are plotted around 1730 instead of 2388.


ES-VWAP.cht - Attached On 2017-05-09 15:40:03 UTC - Size: 32.73 KB - 264 views

[2017-05-09 16:56:02] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are testing this now but so far the historical values and real-time updated values are all correct. 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: 2017-05-09 16:56:35

[2017-05-09 18:05:25] #10 [Go To First Post]
psavi73 - Posts: 39
I don't know why I have this problem. But doing a new test, I only modified the "Session Times" in the chart setting: FROM Start Time: 00:00:00 End Time: 23:59:59 TO Start Time: 23:00:00 End Time: 21:14:59 In order to respect the trading hours of CME futures (http://www.cmegroup.com/trading-hours.html), with my Time Zone (London). The error disappeared. Date Time Of Last Edit: 2017-05-09 18:09:09

[2017-05-09 18:25:39] #11 [Go To First Post]
psavi73 - Posts: 39
Every day there is a break in the data feed from 21:14:59 and 22:59:59. Probably this break in the datafeed causes the error if not properly handled in the "Session Times".

[2017-05-09 19:10:04] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
That definitely should not matter but we will see. So far we have been running your Chartbook for several hours and no trouble. This is what we currently see: http://www.sierrachart.com/image.php?Image=1494356915646.png We have not done any full recalculation and see no evidence of the problem. 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

[2017-05-09 19:23:44] #13 [Go To First Post]
psavi73 - Posts: 39
Now the function plots correctly the values also in more complex charts. Anyway, if I set "Start Time" to 22:00:00 instead of 23:00:00, this is the result: http://www.sierrachart.com/image.php?Image=1494357769347.png There's still an error but it's limited. Date Time Of Last Edit: 2017-05-09 19:23:57

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