5min VWAP value for higher timeframe

October 5th, 2011, 02:32 PM

Hallo,

i want to implement the value of the 5min VWAP in my 30min strategy
i try this:

protected override void Initialize()
....
Add(PeriodType.Minute, 5);

protected override void OnBarUpdate()
....
if (BarsInProgress != 0)
return;

if (ToTime(Time[0]) >= 90000 && ToTime(Time[0]) <= 190000
&& Close [0] > VWAP().VWAPLine (BarsArray [1] ) [0]

I get an error. what am I doing wrong?

Blackburn

October 5th, 2011, 02:37 PM

I do not knwo anything to Ninja lingo but i know the number of parenthesis should match and in your case it does not so i'd investigate that possibility.

October 5th, 2011, 03:24 PM

Blackburn

I get an error. what am I doing wrong?

Helpful if you would post the exact error message.

Mike

October 5th, 2011, 03:52 PM

Is vwap supposed to be time frame independent?

October 5th, 2011, 04:06 PM

omaha786

Is vwap supposed to be time frame independent?

do you mean the same value, but different time frames?

yes vwap is always the same, doesn't matter if 1 min, 10 min, tick, range etc.

October 5th, 2011, 04:21 PM

Silvester17

do you mean the same value, but different time frames?

yes vwap is always the same, doesn't matter if 1 min, 10 min, tick, range etc.

Yes, that's what I mean. The vwap in your chart seems to be just an approximation. Try 30 min or 60 min chart.

October 5th, 2011, 04:30 PM

omaha786

Yes, that's what I mean. The vwap in your chart seems to be just an approximation. Try 30 min or 60 min chart.

here's 1 min, 30 min and 60 min

still same value. or at least it better be.

5min VWAP value for higher timeframe

Discussion in NinjaTrader

5min VWAP value for higher timeframe