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Day session statistic


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Day session statistic

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  #1 (permalink)
Moscow/Russia
 
Experience: Intermediate
Platform: Investor RT, Overcharts
Broker: NT Brokerege/Rithmic
Trading: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
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Hello,
Thank you Chad what you are answer to my previous question! It realy help to understand same moment during trading.
And now i have same additional qestion about session statistic. On your forum and in library iam understand what i can do my task and IRT powerful! But i don`t now how i can do it.

Qestion:
1. I want understand how offen $NQ_F cross VWAP during 1 hour afer market open;
1. I need day session statistic for last 1-2 year (or less) for NQ;
2. I have same rule for it :
- Price $NQ_F when US stock market open;
- VWAP price;
3. Four sceanrio:
1. If price higher then VWAP, but different less then 20$
2. If price higher then VWAP, but different more then 20$
And same two sceanrio for lower price then VWAP

And iam prepare same picture for example:


How i can collect this day session statistic?

In aditional I don`t now it possible or not have additional parametr - Volatility;

Best regards and wait same answer

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  #2 (permalink)
Rome Italy
 
Experience: Beginner
Platform: ProRealTime
Trading: Dax
 
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Posts: 3 since Jan 2019
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Hello, sorry for the question but i am approaching RT since few time. Does RT have a sort of Wizard to extract any daily or intraday statistic without complex language code?
Where can i get more info about the matter?


Thanks

Inviato dal mio Mi MIX 3 utilizzando Tapatalk

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


Hi Jonny,

It looks like you posted this a LONG time ago and I apologize for just now seeing this. I'll be glad to help with this if you're still interested. Some questions...

If it price touches VWAP maybe several times (on several bars) during the 1st 60 minutes of a session...you just want count that as 1, right? In other words, you just want to know each day if it touched or not and not how many times it touched it?

And then when day session begins, you want to know how often price is 20 points or more above VWAP, how often 20 points or more below VWAP, how often above VWAP but within 20 points, and how often below VWAP but within 20 points, correct? And when measuring this difference, I assume you'd like me to use the closing price and closing VWAP of the bar that ends just before the day session begins? Is there a periodicity you'd like to use for this? 5-min?

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


carlo1982 View Post
Hello, sorry for the question but i am approaching RT since few time. Does RT have a sort of Wizard to extract any daily or intraday statistic without complex language code?
Where can i get more info about the matter?


Thanks

Inviato dal mio Mi MIX 3 utilizzando Tapatalk

Carlo,

You'll find many examples including some videos with detailed explanation of Homework, Research, and Statistical studies in Investor/RT on this page: https://www.linnsoft.com/homework

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  #5 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
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LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

Below is a cool view of the difference between price and VWAP at the moment the day session opens each day. Each dot represents a different day. A value of 10 would mean price opened 10 points higher than VWAP on that day. The profile on the right accumulates the number of days we hit each level.


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

As this chart demonstrates: https://www.linnsoft.com/charts/vos-vwap-opening-stats-nq

Of the past 2000 days on NQ, price touched the VWAP during the 1st hour of day session trading 1606 times or 80% of the time. Bottom pane profiles the distance from price to the VWAP at the open of each day session.


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  #7 (permalink)
Moscow/Russia
 
Experience: Intermediate
Platform: Investor RT, Overcharts
Broker: NT Brokerege/Rithmic
Trading: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 252 received

Hello, Chad
Thank you for answer. Good answers never too late)) I`m already made this statistic. Yes, exactly last post it what i need. And if you are here I have additional question about this stat. We can check the days when price does not hit VWAP and look how far price from VWAP was at this day.
Example: Price 9430; VWAP 9400. That means different 30$. And look what with probabilities in different case.

Thanks!

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


jonnytrade View Post
Hello, Chad
Thank you for answer. Good answers never too late)) I`m already made this statistic. Yes, exactly last post it what i need. And if you are here I have additional question about this stat. We can check the days when price does not hit VWAP and look how far price from VWAP was at this day.
Example: Price 9430; VWAP 9400. That means different 30$. And look what with probabilities in different case.

Thanks!

So on these days where price did not touch during 1st hour of day session, you want to the max distance that price moved away from VWAP? And you want this max distance only during 1st hour of day session of for entire day session?

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  #9 (permalink)
Moscow/Russia
 
Experience: Intermediate
Platform: Investor RT, Overcharts
Broker: NT Brokerege/Rithmic
Trading: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 252 received


LS Chad View Post
So on these days where price did not touch during 1st hour of day session, you want to the max distance that price moved away from VWAP? And you want this max distance only during 1st hour of day session of for entire day session?

Hello,
Chad, this is question ONLY if you have a time for it. That is very interest but not very important for me.
Scenario: Day when price does not hit VWAP during first hour after open.
Question: Where was PRICE and VWAP when market open and what different. For Long scenario: d = PRICE - VWAP(price)

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


Here is a plot of the distance from VWAP to Price, at the open of the day session, on days where VWAP and price did not touch during the 1st 60 minutes of the day session. Is that what you're looking for?



And here is the chart definition with this plotted in the lower pane: https://www.linnsoft.com/charts/vos-vwap-opening-stats-nq


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