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IRT vwap issue


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IRT vwap issue

  #1 (permalink)
Oslo, Norway
 
Experience: Intermediate
Platform: NT, Sierra
Broker: IQFEED Stage5
Trading: ES
 
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Posts: 307 since Jan 2014
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IRT vwap issue

Have an issue with IRT and the VWAP indicator. On many platforms VWAP uses tick data and doesn't average the data over the course of your periodicity so the VWAP or standard deviation bands do not change. If you are using a 60 minute chart, a 233 tick chart or a 2 t renko chart, it doesn't matter, all the values are the same.

I am using volume at price data and tick data so I'm not sure if there is a fix for this. I am not great with computers so if anyone could help me set up my VWAP so the VWAP and ST. Deviations are ALWAYS the same I would appreciate it!

James

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  #2 (permalink)
Oslo, Norway
 
Experience: Intermediate
Platform: NT, Sierra
Broker: IQFEED Stage5
Trading: ES
 
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Chad Payne (Investor/RT Support)
Feb 12, 12:01

the VWAP does use the tick data. It should be the same among any periodicity. The bands is a different story as described below. It uses a calculation on the difference between close and VWAP of every bar during the session. That is going to change naturally as the periodicity changes.

Regards,

Chad Payne



that was the response I received from Chad Payne at IRT. Many others here on futures.io (formerly BMT) are telling me that the ST deviation bands should not change at all, regardless of what IRT is telling me

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  #3 (permalink)
Market Wizard
Berlin, Europe
 
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The matter is simple to understand.

The VWAP is the volume-weighted average price of all trades that have taken place during the session. You could sit down and manually add up all the prices for every single contract that was traded during the day, then divide the result by the number of contracts traded. As this only depends on the trades and not on the chart type, the VWAP is always the same. The VWAP is the benchmark for the daily session.

Now let us have a look the standard deviation. The standard deviation is calculated as the square root of the variance. The variance is obtained as the sum of the squares of the difference between the VWAP and the price at which each single contract has been traded during the day. Again the standard deviation of a sample of trades does not depend on the chart type. Therefore the standard deviation bands should show the same value on any chart. If this is not the case, the charting programm uses a standard deviation which does not take into account volume.

To summarize: Neither average price, nor variance nor standard deviation of N trades depend on the chart type. This is the strength of the concept of VWAP + standard deviation bands. Everybody sees the same value for VWAP and bands. SMA and EMA depend on chart type and selected period. Not the VWAP - there is only one of its kind.

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  #4 (permalink)
Oslo, Norway
 
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@LS Chad has been fantastic with me at IRT. He has promptly replies to all my support requests very fast. Maybe we can get this figured out.

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  #5 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
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I agree it would be really nice to have those standard deviation values consistent across all periodicities. And calculating the values on a tick by tick basis would certainly do it. When Investor/RT loads it's bars, it actually stores data within the bars (volume at each price) which makes it extremely efficient for VWAP to calculate the VWAP values. As a matter of fact, the daily (and per bar) VWAP is available to about 50 indicators as seen below, allowing you to apply all types of statistics and analysis to these developing VWAP values.



In addition to VWAP (Day), you have access to VWAP (Bar), VWAP (All), VPOC (Day), VPOC (Bar), VPOC (All), etc.

So that makes it very easy for not only the VWAP indicator to access the developing VWAP value but for just about any indicator, and it does so very efficiently (all directly accessible from within the bar). But not the case for the tick level standard deviation. That would require a separate reload of the tick data (which is very process intensive) and running through all ticks for the computation. That's certainly possible, and something I'm going to consider.

But let me run this alternative by you. This is something a couple of other user have done. I've done some comparison of theses standard deviation values among various periodicities. And while they often vary at periodicities like 30min, 60min, etc. Once you get down to 2min, 1min, 30sec, 5sec....they remain constant. So I think it's safe to say the value you get at 1min is going to be extremely close to if not exactly the same as the tick level values.

You can use the MPD indicator to get at the 1min VWAP standard deviation levels. See below for an example.



You would simply repeat this process for each level you want. I've built a chart which has all 7 levels added to it. You can simply drag and drop each level into any chart you'd like to add this to. Here is the definition: VWAP_MPD_150213080142 | ChartHub

Let me know how this works for you.

Chad

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  #6 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
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Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

To make this even easier, I used the Bands indicator to create a single indicator which draws all 7 lines. Also a single indicator which can be dragged to another chart with a single drag (drag the blue / 100% lines to do so).

Here is the chart definition: VWAP_BANDS_150213135918 | ChartHub

It makes use of the historical Retracement bands option of the Bands indicator which in turn are based off two custom indicators which calculate the 1-min Standard Deviation Levels, and are consistent across all periodicities. For different multiples simply replace the 100, 200, or 300% or replace any of the 0s with your own levels (like 250% or 400%).

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  #7 (permalink)
Oslo, Norway
 
Experience: Intermediate
Platform: NT, Sierra
Broker: IQFEED Stage5
Trading: ES
 
sixsmith07's Avatar
 
Posts: 307 since Jan 2014
Thanks: 282 given, 647 received


LS Chad View Post
I agree it would be really nice to have those standard deviation values consistent across all periodicities. And calculating the values on a tick by tick basis would certainly do it. When Investor/RT loads it's bars, it actually stores data within the bars (volume at each price) which makes it extremely efficient for VWAP to calculate the VWAP values. As a matter of fact, the daily (and per bar) VWAP is available to about 50 indicators as seen below, allowing you to apply all types of statistics and analysis to these developing VWAP values.



In addition to VWAP (Day), you have access to VWAP (Bar), VWAP (All), VPOC (Day), VPOC (Bar), VPOC (All), etc.

So that makes it very easy for not only the VWAP indicator to access the developing VWAP value but for just about any indicator, and it does so very efficiently (all directly accessible from within the bar). But not the case for the tick level standard deviation. That would require a separate reload of the tick data (which is very process intensive) and running through all ticks for the computation. That's certainly possible, and something I'm going to consider.

But let me run this alternative by you. This is something a couple of other user have done. I've done some comparison of theses standard deviation values among various periodicities. And while they often vary at periodicities like 30min, 60min, etc. Once you get down to 2min, 1min, 30sec, 5sec....they remain constant. So I think it's safe to say the value you get at 1min is going to be extremely close to if not exactly the same as the tick level values.

You can use the MPD indicator to get at the 1min VWAP standard deviation levels. See below for an example.



You would simply repeat this process for each level you want. I've built a chart which has all 7 levels added to it. You can simply drag and drop each level into any chart you'd like to add this to. Here is the definition: VWAP_MPD_150213080142 | ChartHub

Let me know how this works for you.

Chad

thanks for this chad. A work around is just fine for me

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