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Start point for daily VWAP?

  #7 (permalink)

Trading Experience: Advanced
Platform: nijia trader
Broker/Data: A.M.P. I.Q. ....C.Q.G.
Favorite Futures: ym
Posts: 523 since Mar 2012
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jstnbrg View Post
I'm trying to decide what the community defines as the "open" these days. Since the end of RTH is the settlement, is the period right after that the open, is it the beginning of the evening session after the break, or the beginning of the next day's RTH? The last doesn't make much sense to me since it ignores trading in Europe.

there is not that much volume in the GLOBEX and the traders are not good. if you look at the past days settlement and the current days open . the inblance is called the overnight inventory .. if most of the trading is above the settlement the inventory is stacked long , reverse that for short. or if not neather its blanced. 70% of the time the market maker will fade the inbalance and it will retest the settlement. the wider the gap the less the % is it will fill. so i do not run a vwap on the globex for those reasons.

Last edited by forgiven; February 13th, 2018 at 07:32 PM. Reason: spell
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