I got it. There were some erroneous 'D' s in there, I highlighted one or two of them.
Still in the first line, where the 'if' is, that is causing a parsing error for some reason. I.e. if I make the changes to those erroneous Ds, and comment out the 'if' statement, it will reference that value correctly.
The "ContainsValue" must be one word. It has been cut into 2 pieces by the forum software, I cannot even change it.
Yes, you are right for the "Ds". Reason is that I do not have the VWAP33 installed anymore, as I am running a newer version. With V35 I had introduced the PD for the daily VWAP, as I needed to differentiate it from the weekly VWAP which has a PW in its enums. It is not possible to use identical enums for several indicators. Each indicator needs to have a different enum, because otherwise they interfere and produce compiler errors.
Have not had the time to make all the required updates in the download section of the forum. I have simply posted too many indicators to catch up.
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Do you have any studies that have a POC in them? I need to find a study that has a POC I can reference, and the one I have (CalculateDevelopingValueArea) of course I'm having trouble referencing that value.
I need one that leaves a ghost image of where it was, similar to the picture I have attached.
You are free to link to other forums directly. This isn't TL or T2W after all...
But where possible, why not create the discussion here on futures.io (formerly BMT) as well if you found it to be a useful topic?
Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.
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The question is what you call a multi-session VWAP.
The standard VWAP in the downloads allows you to select between three modes: ETH, RTH and RTH_Multi.
Let us take for example CL and assume that you have divided the day into three sessions: the night session (6:00 PM to 9:00 AM), the RTH session (9:00 AM to 2:30 PM) and the after session (2:30 PM to 5:00 PM). This is possible:
ETH: VWAP will be calculated for the entire trading day.
RTH 1: VWAP will only be calculated for the night session (first segment).
RTH 2: VWAP will only be calculated for the RTH session (second segment).
RTH-Multi 2: VWAP will be calculated for the RTH session (second segment) calculation will be continued into the after-session (third segment).
If you are talking about a weekly VWAP with standard deviation bands, I think I have it somewhere, but I still need to rework that one a little bit.
I also think I have done a version that compares 1-day VWAP (average price of the current day) with a 2-day VWAP (average price over a 2-day-period) and a 3-day VWAP. But that one is still experimental.
I also plan to code a multi- timeframe VWAP, as the accuracy is not yet good on longer period (> 10 min ) charts. VWAP is a typical example, where the resolution matters:
-> on small period tick charts it will possibly never stop calculating and exhaust your CPU
-> on large period charts it will be inaccurate
So in the two cases it is better to load a 1-minute series and use it to calculate the VWAP. This will solve both the CPU and accuracy problems.
But what do you look for?
Last edited by Fat Tails; July 26th, 2011 at 04:28 PM.
Reason: I have seen it...