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Date/Time: Mon, 22 Apr 2019 07:03:55 +0000



Time weighted average price

Support Request:
[2019-04-11 16:55:49]
User496503 - Posts: 16
How to add cumulative time to calculate TWAP with OHLC Average. Thanks in advance
[2019-04-11 17:51:13]
Sierra Chart Engineering - Posts: 71060
You will just want to use a weighted moving average on fixed time chart bars:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=28&Name=Moving_Average_-_Weighted

and you will want to set the Input Data Input to OHLC Average.
Sierra Chart Support - Engineering Level

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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.
[2019-04-12 16:43:19]
User496503 - Posts: 16
Thanks . When I add moving average -weighted , it shows input OHLC Average and Input Length . What length to be kept ? It shows 10 by default . Please guide
[2019-04-12 17:32:40]
Sierra Chart Engineering - Posts: 71060
We do not know what you should use. This is up to you. If the chart bars are set to five minutes each and you would want a 60 minute time weighted average, then you would just use 12.
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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.
[2019-04-12 18:38:30]
User496503 - Posts: 16
Thanks . To calculate TWAP from market open time to close time , How to calculate is my request . Can you please guide
[2019-04-13 22:45:43]
Sierra Chart Engineering - Posts: 71060
Would it be okay if you just load one day of data into the chart?
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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.
[2019-04-14 01:53:32]
User496503 - Posts: 16
One day TWAP is enough for me starting from 8.30-3.15 pm in 5 min or 30 min chart
[2019-04-15 18:53:27]
Sierra Chart Engineering - Posts: 71060
We have prepared a Chartbook to do this. For what symbol do you want this on?

And what time zone should the chart be in?
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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.
Date Time Of Last Edit: 2019-04-15 18:53:42
[2019-04-15 19:16:23]
User496503 - Posts: 16
ES S&P Future
Time zone 8.30 CT to 15.15 pm CT

Thanks
[2019-04-15 21:27:30]
Sierra Chart Engineering - Posts: 71060
First step is to update Sierra Chart to the latest "prerelease":
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate

And then use the attached Chartbook. Here are instructions:
https://www.sierrachart.com/index.php?page=doc/Chartbooks.html#UsingChartbookProvidedBySierraChartSupport

These charts are set to load only a single day of data. To make sure that remains the case select Chart >> Reload and Recalculate after the data is downloaded.

The weighted moving average also adjusts its length dynamically at each chart bar to ensure it matches the available data at that bar.
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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.
Date Time Of Last Edit: 2019-04-15 21:28:59
attachmentTimeWeightedExample.Cht - Attached On 2019-04-15 21:26:25 UTC - Size: 79.38 KB - 8 views

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