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Direct MessagesDate/Time: Fri, 19 Apr 2024 20:32:01 +0000
VWAP seemingly incorrect
View Count: 1176
| [2020-06-26 20:51:59] |
| User807787 - Posts: 41 |
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My Volume Weighted Average Price (VWAP) values seem to be incorrect when compared to Esignal, Trader Workstation, and ToSwim which are all the same as each other with default values. I have pre-market data on. I am using Sierra chart real time data feed with IBrokers. Settings: Period: 1 day Base on Underlying data: Yes Everything else default Any known reason for this? |
| [2020-06-26 22:03:48] |
| Sawtooth - Posts: 3975 |
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Session start and end times will affect the VWAP.
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| [2020-10-19 14:47:49] |
| User232165 - Posts: 25 |
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The differences occurr during the session. At the beginning of the premarket all seems ok. But the longer the trading day the more differences to other chart platforms you will notice. But when i click on "delete all data and download" in the edit menue the vwap shows the exact value like on other platforms. I don´t know why these differences build up during the day. It seems as vwap forgets to recalculate. It doesn´t matter if you using rolling vwap or standard vwap. Perhaps support could help. |
| [2020-10-19 16:08:33] |
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In regards to the first post, refer to: Chart Studies: Resolving Study Differences In regards to post #3 you are using Interactive Brokers substandard data. Do not use that data and then post here about problems with it. You need to use Sierra Chart provided data feeds only: Real-Time Exchange Data Feeds Available From Sierra 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 Date Time Of Last Edit: 2020-10-19 16:08:59
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| [2020-10-20 12:37:40] |
| User232165 - Posts: 25 |
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I followed your suggestions, but got the same results. I´m referring to stocks. IB´s data are not so bad and get a correction every 5 seconds. I couldn´t see any differences in the price values between the listed applications. I would like to get the same values for Vwap like in TOS, Tradingview or TWS. They all show the same results. Date Time Of Last Edit: 2020-10-20 18:19:32
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| [2020-10-20 12:49:53] |
| User232165 - Posts: 25 |
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I switched IB`s data off and used only SC data-All Services (not realtime)but got the same differences on the Vwap. Really don´t know how to solve this problem. |
| [2020-10-20 18:18:37] |
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Do not comment on post #1. You are not aware of the facts. We will delete your posts. I switched IB`s data off and used only SC data-All Services (not realtime)but got the same differences on the Vwap. We do not know what you mean about this. You also have to fully re-download the data in the chart to ensure you are getting data fully from that service (SC data-All Services). Re-download all the data in the chart by going to the chart and selecting "Edit >> Delete All Data and Download". You just need to do this once per symbol and not for each 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 |
| [2020-10-21 19:53:02] |
| User232165 - Posts: 25 |
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I find your reply very unfriendly and remind you, that i am a paying customer. What i meant is that i used the SC data-All Service and not the IB feed additionally to test if this makes any changes. That was not the case. I loaded an intraday only chart (evening/full session is on) and used the rolling vwap with the standard settings and "Base on underlying data" "Yes". On some stocks all is ok but on others like WEI today i got totally different values (4.33 on SC, 2.98 on other platforms). The other platforms showed all 2.98. I deleted all data and downloaded several times new. It made no difference if using SC data-All Service alone or with IB feed. I only want to understand why it comes to such differences on some stocks. I hope for a polite answer. Thanks Date Time Of Last Edit: 2020-10-21 19:54:19
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| [2020-10-21 22:01:28] |
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I find your reply very unfriendly and remind you, that i am a paying customer. Commenting on other users posts causes us to take unnecessary time and it misleads other users.I only want to understand why it comes to such differences on some stocks.
This question is not within the scope of our support. We can refer you to the calculations here:Volume Weighted Average Price (VWAP) - Rolling with Standard Deviation Lines Also in the case of stocks, we recommend not using the evening session and only the day session. 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 |
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