TWAP and VWAP - EasyLanguage Programming | futures io social day trading
futures io futures trading


TWAP and VWAP
Updated: Views / Replies:19,925 / 27
Created: by bomberone1 Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

TWAP and VWAP

  #11 (permalink)
Elite Member
London
 
Futures Experience: Beginner
Platform: MultiCharts
 
Posts: 230 since Nov 2010
Thanks: 10 given, 20 received

Whow i am not good in math but I surpryse that no one coder is able to code twap, wow is it so difficult??

Reply With Quote
 
  #12 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary


bomberone1 View Post
So I am searching both twap indicator in easylanguage both twap trading metod.

I see a video that a folk manage to make a vwap multiday, it's called n vwap.


Could someone code it please?

The VWAP and TWAP are average prices determined for the period between an anchor point and now. You can define any anchor point that you like.

If you look up, the July 2010 issue of "Technical Analysis of Stocks and Commodities", you will find the tradestation code for a VWAP channel in the Trader's Tips section, page 74.

As MultiCharts uses EasyLanguage you can use the code and run it on MultiCharts.

Reply With Quote
 
  #13 (permalink)
Elite Member
London
 
Futures Experience: Beginner
Platform: MultiCharts
 
Posts: 230 since Nov 2010
Thanks: 10 given, 20 received



Fat Tails View Post
The VWAP and TWAP are average prices determined for the period between an anchor point and now. You can define any anchor point that you like.

If you look up, the July 2010 issue of "Technical Analysis of Stocks and Commodities", you will find the tradestation code for a VWAP channel in the Trader's Tips section, page 74.

As MultiCharts uses EasyLanguage you can use the code and run it on MultiCharts.

Thanks but about twap, I need to find easylanguage code. I get vwap.

Reply With Quote
 
  #14 (permalink)
Elite Member
London
 
Futures Experience: None
Platform: MC & Ninja mainly
 
Posts: 130 since Jan 2010
Thanks: 3 given, 47 received

Not sure what you want really?

TWAP is just a way of splitting up orders nad submitting them in chunks based on time. Do you want some easy language code to break up orders and submit them automatically?

If you want to know what the 'TWAP' was just use a simple moving average.

Reply With Quote
 
  #15 (permalink)
Elite Member
London
 
Futures Experience: Beginner
Platform: MultiCharts
 
Posts: 230 since Nov 2010
Thanks: 10 given, 20 received

You Don't worry that all.


{ Function: _TWAP: Time-weighted average price

Very similar to VWAP, except Price is only weighted by the time (number of times the price occurs over a session).

Apply only to intraday charts

}

vars:
PriceW(0),
TimeW(0) ;

// Raise run time error to shut down if the bar type is not intraday
Once if BarType <> 1 then
RaiseRunTimeError(" TWAP function can only be used with intraday charts") ;

// If the current bar date is not equal to the prior bar date then we are on
// the first bar of a new day. If so, then reset PriceW and TimeW.
if Date[1] <> Date then
begin

PriceW = 0;
TimeW = 0;

end;

// Add to the price weighting the new average price times the bar interval (number of minutes)
PriceW = PriceW + ( AvgPrice * BarInterval ) ;

// Add to the time weighting the total elapsed minutes for this day
TimeW = TimeW + BarInterval ;

// If the time weighting is non-zero then we calculate a TWAP, else return -1
// indicating we cannot calculate TWAP.
if TimeW > 0 then
_TWAP = PriceW / TimeW
else
_TWAP = -1 ;

Could you improve it?

Reply With Quote
 
  #16 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary


NickA View Post
Not sure what you want really?

TWAP is just a way of splitting up orders nad submitting them in chunks based on time. Do you want some easy language code to break up orders and submit them automatically?

If you want to know what the 'TWAP' was just use a simple moving average.

This is a bit simplistic, if not false.

-> TWAP is not a way of breaking up orders.

-> TWAP is an anchored moving average. This means that it is a moving average, for which the period is incremented by 1 for each bar.

-> TWAP is only a simple moving average (SMA) on charts with a fixed period. The reason is simple. If all bars have the same duration, the weight used for each bar is one, and the TWAP is identical with an anchored SMA.

-> On other chart types, such as tick, range or volume chart, the bars do not have the same duration, so a time-weighting is necessary to calculate the TWAP. In this case the TWAP is a time-weighted moving average (TWMA).

-> If you divide a large order and execute it over time in a linear fashion, that is at a constant execution speed, at the end of the day your execution price will be the TWAP. I believe that nobody is doing this anymore.

Hope this makes things clearer.

Reply With Quote
 
  #17 (permalink)
Elite Member
London
 
Futures Experience: None
Platform: MC & Ninja mainly
 
Posts: 130 since Jan 2010
Thanks: 3 given, 47 received

Sure - the bar periodicity controls the sampling frequency. The start bar controls the anchor point. If you don't want that to be at the beginning of a session you'd have to write a couple of lines of extra code.

bomberone1 has been posting for some while now round the internet asking 'can you give me TWAP code', I thought I'd try and help. If you explain exactly what you need bomber it should not be too hard to point you in the right direction.

Compared to VWAP TWAP is ....well... trivial to implement. VWAP is much tricker especially if you want to use an online algorithm (making it suitable for large data sets like tick data) and include stuff like SD's.

Maybe its just semantics but if you speak to most traders about TWAP they will assume you are talking about execution. Platforms that offer TWAP execution do indeed break up a large order and executes it as a batch of smaller orders over time. That's all I meant there

What I don't understand is what bomber wants. If it is TWAP execution there are platforms that offer it, if it's plotting it on a chart its pretty straight forward.

Incidentally I glanced at the code that you have and it appears OK Bomber, what do you want improved?

Reply With Quote
The following user says Thank You to NickA for this post:
 
  #18 (permalink)
Trading for Fun
Kolkata,India
 
Futures Experience: Intermediate
Platform: Broker
Broker/Data: Broker
Favorite Futures: Futures
 
Posts: 100 since Feb 2011
Thanks: 52 given, 39 received

Spotting vwap/twap algos in NT

Hello,

I am using NT 7, I want to track if any vwap /twap algo is currently getting executed thru the T&S data. Can anybody please guide me on how to do this?

Reply With Quote
 
  #19 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary


rocky9281 View Post
Hello,

I am using NT 7, I want to track if any vwap /twap algo is currently getting executed thru the T&S data. Can anybody please guide me on how to do this?

I think that you cannot easily spot them. If I had to code a TWAP execution algorithm, I would include at least two elements

-> breaking up the order into equal slices over the execution period
-> use another algorithm which acts in a similar fashion as a random generator to hide the execution

Also TWAP is really the first generation of execution algorithms, and there are much better options.

However, you may well examine the ticker tape for non-random properties. If a specific ordersize regularly occurs on the order book, you may at least conclude that a larger order is executed by a primitve algorithm and decide to exploit it. If the time intervals between these orders are identical, it may well be a TWAP algorithm working, But how would you want to generate profits?

Reply With Quote
 
  #20 (permalink)
Elite Member
arcadia
 
Futures Experience: Intermediate
Platform: Ninja
Favorite Futures: es
 
Posts: 22 since Aug 2009
Thanks: 29 given, 21 received


Does anyone have TWAP for Ninjatrader?

Thanks in advance and cheers!

Reply With Quote

Reply



futures io > > > > > TWAP and VWAP

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Using VWAP in your trading Big Mike The Elite Circle 173 January 25th, 2016 10:22 PM
VWAP based on bars? Default User NinjaTrader 3 April 23rd, 2012 12:32 PM
VWAP bands crazybears NinjaTrader 102 March 6th, 2012 05:33 PM
VWAP for NT7 chipotlebop NinjaTrader Programming 3 May 28th, 2010 04:23 PM
VWAP question Todd NinjaTrader Programming 3 March 14th, 2010 07:13 PM


All times are GMT -4. The time now is 06:24 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-14 in 0.14 seconds with 19 queries on phoenix via your IP 54.160.245.121