Support Board
Date/Time: Sun, 11 May 2025 20:48:24 +0000
RTH VWAP without overnight data
View Count: 473
| [2024-08-29 14:25:27] |
| MarkusK - Posts: 106 |
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I want to add an RTH VWAP to my NQ chart, i.e., a VWAP that only starts at 09:30 and only considers the RTH session volume. Problem is that I want to add it to a chart that shows the full trading session ETH + RTH, i.e., 18:00 - 16:59:59. What I did: I created a chart #1 that shows only the RTH session starting at 09:30, and added a Volume Weighted Average Price study to it. This gives me a working RTH VWAP. On my other chart #2 (the one that shows ETH + RTH) I use the "Study/Pice Overlay" study to copy that RTH VWAP from chart #1. Both charts have the same symbol (NQ) and the same bar period. Only difference is that chart #1 only shows the RTH session, while chart #2 shows both ETH + RTH session. It almost works except for one thing (please see attached screenshot of chart #2): Instead of starting at 09:30, the copied VWAP study (yellow dotted line) starts at 18:00 on chart #2 and also shows data for the ETH time period (red circled area in the screenshot). I have no idea where that (obviously invalid) overnight data is coming from and why the VWAP is even rendered in that overnight period. I already set the option "Draw Zeros" of the Study/Price Overlay to "no" but it has no effect. I'm probably missing something here, but I simply cannot figure it out. Any help with this issue would greatly be appreciated. |
 RTH VWAP.png / V - Attached On 2024-08-29 14:21:15 UTC - Size: 53.73 KB - 87 views Attachment Deleted. |
| [2024-08-29 15:39:51] |
| John - SC Support - Posts: 39699 |
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On the "Study/Price Overlay" make sure the Input for "Fill Blanks with Last Value" is set to "No". And also ensure the option for "Draw Zeros" is set to "No". You will also need to look at the Input for "Bar Time Matching Method". If these charts use the same Bar Period, then this should be set to "Containing Match". If they use different bar periods, then you will need to consider which option is best for your situation. Refer to the following for these Inputs: Study/Price Overlay Study: Study Inputs For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-08-29 16:40:31] |
| MarkusK - Posts: 106 |
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Thanks for your fast response John! Unfortunately, it didn't solve the issue. I double-checked all settings according to your explanation and everything looks fine to me. However, I noticed something very strange: The ETH / overnight section of the RTH VWAP (which shouldn't be there) is only drawn if both the last bar of the previous session (at 16:59) AND the first bar of the following RTH session (at 09:30) are visible on the chart. If I scroll the chart to the left or to the right so that only one of these bars is visible on my screen, the RTH VWAP is drawn correctly without the ETH / overnight part. I attached some screenshots to illustrate that (it's a 1 minute chart, but the same occurs on all other timeframes as well): (i) Screenshot 1: the last bar at 16:59 of the previous day is visible, the first bar at 09:30 of the following day is not. RTH VWAP correctly stops at 16:59 and is not rendered for the following ETH session. (ii) Screenshot 2: both the last bar at 16:59 and the first bar of the following RTH session at 09:30 are visible - RTH VWAP doesn't stop at 16:59 but is incorrectly continuing during ETH session. (iii) Screenshot 3: the last bar at 16:59 of the previous day is not visible, the first bar at 09:30 of the following day is. RTH VWAP is not rendered for the ETH session and correctly starts at 09:30. Maybe I'm still missing something here - or could this perhaps be a bug in Sierra Chart? |
| Screenshot 1.png / V - Attached On 2024-08-29 16:37:48 UTC - Size: 102.39 KB - 71 views Screenshot 2.png / V - Attached On 2024-08-29 16:37:51 UTC - Size: 112.04 KB - 80 views Screenshot 3.png / V - Attached On 2024-08-29 16:37:54 UTC - Size: 87.19 KB - 59 views |
| [2024-08-29 17:46:47] |
| John - SC Support - Posts: 39699 |
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What you are seeing is actually the correct functioning of the system. The reason for this is that you are using a Line for the Draw Style, so when your chart shows both the end of the VWAP for one day and the start at the next day, it is connecting those two points. To solve this, change the "Draw Style" to "Line - Skip Zeros". Refer to the following: Chart Studies: Line - Skip Zeros (ACSIL: DRAWSTYLE_LINE_SKIP_ZEROS) Depending on how you have your Study/Price Overlay setup, you may need to change the Draw Style in the actual VWAP study on the source chart. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-08-29 17:58:24] |
| MarkusK - Posts: 106 |
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Thank you very much John. Switching to "Line - Skip Zeros" did the trick!
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