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Direct MessagesDate/Time: Thu, 16 May 2024 06:19:18 +0000
VWAP Rolling not updating correctly (vers 1556)
View Count: 1734
| [2017-05-12 17:09:25] |
| psavi73 - Posts: 39 |
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Today I've started working with version 1553 and I've noticed that VWAP rolling function (weekly, Time Period=Number of Days to Calculate=7)doesn't correctly update realtime values (a refresh of the function is needed sometime). So I've verified that there were a new version available (1556) and I've installed it, but that didn't solved the problem. The datafeed now seems to have a break between 22:00:00 and 22:59:59, so I've also configured the "Session Times" of Chart Setting in this way (my Local Time is LONDON TIME): Start Time: 23:00:00 End Time: 21:59:59 But the function doens't function anyway (I've also made other tests modifiyng various parameters) but the problem still remain: http://www.sierrachart.com/image.php?Image=1494608928956.png I really like and appreciate your charting tool, but it's really frustrating refreshing a function while you are trading because you need to see what's going on at a glance and act fastly. So I kindly ask you to help me in solving this issue definitely. You can also give me a new configurations of the parameters, the important is I have a weekly rolling VWAP function. Best regards. |
| [2017-05-12 17:49:30] |
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We really do not understand what you are saying: But the function doens't function anyway (I've also made other tests modifiyng various parameters) but the problem still remain: http://www.sierrachart.com/image.php?Image=1494608928956.png We have absolutely no idea what the issue you are trying to describe is. The chart image looks completely correct. We do know there were a couple of issues in the past which have been resolved. But you have failed to point out any new issue. We are not going to make this easy. You have to be very very clear and precise and you also need to understand the study you are working with. You might think there is a problem but more than likely there is just a misunderstanding. 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: 2017-05-12 17:57:24
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| [2017-05-12 19:10:59] |
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Also make sure you set this study Input to 0: Minimum Required Time Period as Percent for Skip Days 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 |
| [2017-05-19 12:47:57] |
| psavi73 - Posts: 39 |
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VERSION 1558 The VWAP and its standard deviation lines should be continuous and not broken as showed in the previous image. Anyway starting from monday 15th the problem wasn't present, but today the problem is present again (also on new version 1558): - VWAP and std dev lines are broken: http://www.sierrachart.com/image.php?Image=1495197570214.png - after a refresh the lines become continuous (as it should be): http://www.sierrachart.com/image.php?Image=1495197693609.png What I've noticed is that also the last time I've seen the problem was friday. The "Minimum Required Time Period as Percent for Skip Days" was always 0 These are the other inputs: Input Data: Last Base on underlying data: yes Time period type: Days - Trading days Time period lenght: 7 Number of days to calculate: 7 Minimum Required Time Period as Percent for Skip Days: 0 As regarding Session Times in Chart Settings: Start time: 23:00:00 End Time: 22:59:59 My time zone is London. |
| [2017-05-21 17:39:19] |
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We will review this again.
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 |
| [2017-05-22 16:36:41] |
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We have determined that there is no problem and that you have a misunderstanding and you are creating your own issues because you are not setting the Number of Days to Calculate high enough. You need to take the time to read through the Input descriptions for this study here: http://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=352#Volume_Weighted_Average_Price_-_VWAP_-_Rolling_with_Standard_Deviation_Lines The documentation specifically states, when using Time period type: Days - Trading days you will notice an obvious shift in values at the start of a new trading day. Furthermore, that should be obvious to you. If it is not obvious to you, then you do not even understand how a volume weighted average price is calculated to begin with. We will not spend any further time on this. Any further time on this is going to be billable at 75 USD per hour and we will require a payment for that. 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 |
| [2017-05-22 17:13:30] |
| psavi73 - Posts: 39 |
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I let images speaks rather than doing unuseful controversies: - if you want a real rolling VWAP (weekly for example), "Time Period Lenght" has to be equal to "Number of Days to Calculate"=7 (there is no other way): http://www.sierrachart.com/image.php?Image=1495473129598.png - with "Time Period Lenght"=7 and "Number of Days to Calculate"=14 (for example), you don't have a weekly rolling VWAP: http://www.sierrachart.com/image.php?Image=1495473183658.png If it isn't obvious to you, I'm not able to do miracles. Best regards. |
| [2017-05-22 17:22:50] |
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This is actually correct: http://www.sierrachart.com/image.php?Image=1495473183658.png because of this reason: With Days - Trading Days every time a new day begins, you can and most likely will notice an obvious shift in the VWAP value because the day that was previously being used in the VWAP calculation is no longer included. It is not a bar to bar rollover, but a day to day rollover. If you want a bar to bar rollover, then set this Input to Days - 24 Hour Period instead.
This is wrong!!!: We are not idiots. We are far more knowledgeable about how this is supposed to work than you are. We are requesting you to add 75 USD to your Services Balance to pay for additional support if you are expecting an answer from us. You can do this here: https://www.sierrachart.com/UserControlPanel.php?page=AddAccountCredit 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: 2017-05-22 17:23:48
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| [2017-05-22 18:17:08] |
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We want to make a clarification. This is not necessarily wrong: However, it is not showing the shift in prices from trading day to trading day as explained here: With Days - Trading Days every time a new day begins, you can and most likely will notice an obvious shift in the VWAP value because the furthest day back in time that was previously being used in the VWAP calculation is no longer included. It is not a bar to bar rollover, but a day to day rollover. If you want a bar to bar rollover, then set this Input to Days - 24 Hour Period instead.
It is not because you have limited the calculation to 7 days which effectively is causing the VWAP calculation to be a developing calculation. 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: 2017-05-22 18:18:44
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