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Direct MessagesDate/Time: Thu, 25 Apr 2024 11:44:10 +0000
Vwap monthly problem when switching historical-intraday-historical ?
View Count: 1881
| [2013-09-06 08:32:09] |
| wwwingman - Posts: 185 |
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Hi, There is something I don't understand in the Sierra Vwap behaviour. I thought session time have no incidence on Historical data. Here is what I do : 1. Open Historical @NQ#C (IQFeed) set to daily and load 50 days. 2. Add Vwap, set to Monthly period and Base on Underlying Data. 3. Vwap starts a new period on the August First bar and is *3106.22* 4. I switch the chart to Intraday Data, load 50 days, set the Day session of 16:15:00 - 16:14:59. No night session. 5. I switch back to Historical Daily. 6. Vwap is *3097.404* Vwap is not the same on 3 and 6, although the historical daily settings are the same. The only thing that changed is the session times. Am I wrong ? W. Date Time Of Last Edit: 2013-09-06 08:32:27
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| [2013-09-06 22:33:09] |
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This is not a valid test because you do not have enough data loaded to see a correct value for August 1. Also, when we run a test, and the identical number of bars is loaded in the chart we do not observe any differences when switching back to a Historical Daily chart from an Intraday 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 |
| [2013-09-06 23:11:57] |
| wwwingman - Posts: 185 |
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Test is valid. I am interested in the period change and the august Vwap is based on august data. You can put 200 days it won't change the results. My understanding is that the default session times for historical charts is 00:00-23:59. If you then go to intraday, change the session times for 16:15-16:14, and back to historical, you will see slightly different vwaps with the first time you were on historical charts. I've done the test again, asked a friend to do the same on his computer and we both have the problem (version 1019). However, I am not sure it is a problem. I simply want to be sure the Vwap uses session times, even on historical charts. W. Date Time Of Last Edit: 2013-09-06 23:14:40
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| [2013-09-07 02:01:46] |
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The Session Times for Historical charts cannot be changed. They are based upon the exchange data. It is not from midnight to midnight. The Session Times can be found in the contract specifications on the exchange websites. We understand now why adjusting the Session Times is affecting slightly the Volume Weighted Average Price calculation for a Historical Daily chart when they should not. It is not affecting it in the way that you are thinking. We have resolved this 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 Date Time Of Last Edit: 2013-09-07 02:02:09
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| [2013-09-07 09:52:06] |
| wwwingman - Posts: 185 |
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great ! If of any interest, my real problem was not the Vwap, it was the sc.GetStartDateTimeForTradingDate function. |
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