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Date/Time: Fri, 29 Mar 2024 10:07:51 +0000



[User Discussion] - VWAP not matching data

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[2017-12-04 16:50:51]
trader1 - Posts: 128
Hi,
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.
Thanks.
[2017-12-04 18:06:55]
Sierra Chart Engineering - Posts: 104368
We can only refer you to the documentation here which explains how it is calculated:
Moving Average - Volume Weighted

This is why the documentation exists.

Also refer to:
Chart Studies: Resolving Study Differences

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. 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
[2017-12-04 20:35:18]
Xfanman1 - Posts: 320
Hi,
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.
Thanks.

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: 128
Hi,
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]
Xfanman1 - Posts: 320
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..

https://www.interactivebrokers.com/en/index.php?f=603

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

https://www.youtube.com/watch?v=4gw9g3xEQBc
Date Time Of Last Edit: 2017-12-05 20:20:24
[2017-12-06 04:19:38]
trader1 - Posts: 128
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.

Thanks.

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