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Start point for daily VWAP?

  #8 (permalink)

Chicago, Illinois
Trading Experience: Advanced
Platform: Ninjatrader, TT, InvestorRT
Broker/Data: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Favorite Futures: Treasury futures
Posts: 302 since Nov 2010
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forgiven View Post
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.

Interesting. So, at least in the markets you trade, Globex tends to mean revert towards the settlement after the RTH close. Well, in oil there's certainly not much volume after RTH until Europe opens. Which means as the day progresses the trade between 2:30 PM ET and about 3 AM ET won't affect the daily VWAP that much anyway.

On a side note, I used to work with a bunch of guys in a prop group (they were in the group, I was a friend of the heads of the group and traded my own money, but in their facility) who made most of their living fading after hours moves in the US Treasury yield curve. These guys traded with DOMs only, no charts. The proprietors of the group were former CBOT pit traders like myself; one of them had clerked for me on the floor back in the day. I've kind of been away from the market since 2006 and things have changed a lot since then. VWAP was not yet a thing back then. LOL!

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