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Date/Time: Sun, 20 Jan 2019 01:55:04 +0000

[User Discussion] - VWAP not matching data

Support Request:
[2017-12-04 16:50:51]
trader1 - Posts: 109
Can you please tell me why the "Volume Weighted Average Price" on a chart is not matching the VWAP from IB when the data is coming from IB.
[2017-12-04 18:06:55]
Sierra Chart Engineering - Posts: 68089
We can only refer you to the documentation here which explains how it is calculated:

This is why the documentation exists.

Also refer to:

Otherwise, this question simply is outside the scope of our support.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-12-04 20:35:18]
Xfanman - Posts: 316
Can you please tell me why the "Volume Weighted Average Price" on a chart is not matching the VWAP from IB when the data is coming from IB.

Since VWAP is calculated daily, is it possible you're using a different session time beginning for your IB vs your Sierra Chart charts?
[2017-12-05 18:46:01]
trader1 - Posts: 109
Thanks for your suggestion. I don't see where to set the session time for IB and when I change SierraChart session times to any value that might logically correspond to IB the VWAP values are still different although they do change slightly.
[2017-12-05 20:10:29]
Xfanman - Posts: 316
Does IB offer a VWAP chart plot now? They didn't when I used them as my broker. VWAP was only available as a number displayed below a chart with other chart/symbol statistics. That doesn't help you I understand but I'm just curious.

Here is some information on how IB calculates VWAP in equities for VWAP triggered orders..


More importantly, here's a YouTube video talking about IB's VWAP issues (as of earlier this year, maybe not applicable any more?).

Date Time Of Last Edit: 2017-12-05 20:20:24
[2017-12-06 04:19:38]
trader1 - Posts: 109
Well, I don't even know if IB offers a VWAP indicator on their charts because I consider their charts so bad as to be essentially unusable. I have noticed though that IB's VWAP number on TWS is different than the one on sierra chart charts even though sierra chart is being fed from IB data.

The video you linked above indicates that IB's VWAP figure is incorrect and I have seen it vary with other feeds and am not always sure which figure is the correct one.

I was mainly wondering why the sierra chart's VWAP indicator is different than IBs when the data that it is derived from is coming from IB but I guess they are each using their own algorithm to determine VWAP.

I guess I will do a more thorough comparison between various data feeds to see who appears to be displaying the correct VWAP calculation.


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