Lfx987 

With JP's permission, I am attaching a copy of my Sierra Chart template for the tick chart set-up. There are two charts in the workbook: Overlaid on ES: TICK NYSE NISS NYSE (Advance-decline) Overlaid on NQ: TICK NASDAQ NISS NASDAQ (Advance-decline) The charts start/end time are NYT 09:30 to 16:00 (Cash markets open/close). Depending on your data provider, you may have to change the Chart Setting symbol (I am with AMP). However the market internals are provided by Sierra. You may just have to wait a while for the data to load.

Nice.

It would be much appreciated. I hope you find the time.
You have been very generous with your time. Thanks again.

Sorry to intrude the discussion but I noticed this

rb55 

Anyone know why the VWAP levels are different in NT8 vs Tradingview when using the same instrument?

I've made same observation and inquired about it, this is the reply I got.

TV doesn't have tick data, so you are limited to higher TF's and differences will appear on VWAP on TV and Ninja which will have much more accurate data and calculations.

However, as someone who uses only TV, if you are not tick-chart trader, it's really not a big deal and everything JB has posted in this thread is applicable all the same. In fact, his methodology works with TWAP too, which doesn't use volume at all.

So, TLDR; don't worry about it unless you trade on tick-charts and then its better for you to avoid TV all together.

LastDino 

Sorry to intrude the discussion but I noticed this I've made same observation and inquired about it, this is the reply I got. TV doesn't have tick data, so you are limited to higher TF's and differences will appear on VWAP on TV and Ninja which will have much more accurate data and calculations. However, as someone who uses only TV, if you are not tick-chart trader, it's really not a big deal and everything JB has posted in this thread is applicable all the same. In fact, his methodology works with TWAP too, which doesn't use volume at all. So, TLDR; don't worry about it unless you trade on tick-charts and then its better for you to avoid TV all together.

I concur. I use Trading View as well which uses minute data to build the VWAP. Minute resolution is fine. Tick resolution for VWAP is very granular and although it is more accurate uses a lot of resources.

You make an interesting point about TWAP. I have not studied this extensively, but my friend who is ex-institution would use TWAP in conjunction with VWAP to load or unload large orders. I should look into TWAP more as I feel I have FOMO on that one.

JonnyBoy 

I concur. I use Trading View as well which uses minute data to build the VWAP. Minute resolution is fine. Tick resolution for VWAP is very granular and although it is more accurate uses a lot of resources. You make an interesting point about TWAP. I have not studied this extensively, but my friend who is ex-institution would use TWAP in conjunction with VWAP to load or unload large orders. I should look into TWAP more as I feel I have FOMO on that one.

I feel TWAP is indeed worth investing some attention to, however I feel if we are having access to volume data and are already using VWAP, its not going to add much other than extra lines on chart. In fact, in my attempt at reducing clutter from my chart I've retired my TWAP (Daily, Weekly, Monthly) lines from chart. Now I only have VWAP of the same.

Previously I've played with slightly primitive ideas like having TWAP and VWAP and filling space between them based on where VWAP was with respect to TWAP to get indication of volume trend in the script. It turned out to be very primitive indeed

Here is chart for visualisation.



VWAP above TWAP = Green
VWAP below TWAP = Red

This is just my use case, however someone like you who has immense experience might see things lot better than I could and come up with much more advanced ideas and we all will be following this thread closely to study.

vwap twap whatever. pipe dreams and sheep led to the slaughter are all about the vwap which by the way has been well written about and publicized for 30 years!!!!

if vwap is so consistent and so wonderful where are the forbes 500 list of vwap traders.. cough cough cough.

even on this site if vwap was working this guru of vwap would very easily show us actual time and sales to the micro second stamp of all of his amazing trades based on
vwap which is what a weighted moving average of price based on volumes which in stocks are not at all accurate and even in futures you can lay off volumes in other ways to conceal what you are really doing.

I am not bashing it as an indicator but as a stand alone make a fortune from trading that is ridiculous.

jamrock 

vwap twap whatever. pipe dreams and sheep led to the slaughter are all about the vwap which by the way has been well written about and publicized for 30 years!!!! if vwap is so consistent and so wonderful where are the forbes 500 list of vwap traders.. cough cough cough. even on this site if vwap was working this guru of vwap would very easily show us actual time and sales to the micro second stamp of all of his amazing trades based on vwap which is what a weighted moving average of price based on volumes which in stocks are not at all accurate and even in futures you can lay off volumes in other ways to conceal what you are really doing. I am not bashing it as an indicator but as a stand alone make a fortune from trading that is ridiculous.

Did you even read the entire thread?

MiamiTrader 

Did you even read the entire thread?

of course not because it is using VWAP to try and make consistent profits

jamrock 

vwap twap whatever. pipe dreams and sheep led to the slaughter are all about the vwap which by the way has been well written about and publicized for 30 years!!!! if vwap is so consistent and so wonderful where are the forbes 500 list of vwap traders.. cough cough cough. even on this site if vwap was working this guru of vwap would very easily show us actual time and sales to the micro second stamp of all of his amazing trades based on vwap which is what a weighted moving average of price based on volumes which in stocks are not at all accurate and even in futures you can lay off volumes in other ways to conceal what you are really doing. I am not bashing it as an indicator but as a stand alone make a fortune from trading that is ridiculous.

Instead of writing word salad, how about you contribute constructively by actually reading the thread and posting some detailed quantitative reasoning as to why VWAP is the pipe dream you say it is.

I am always interested in opposite views to my own...that is how I slaughter sheep on a daily basis after all. However, making a post without providing a rationale to back up your statements are meaningless.

If your goal is to write disrupter posts in this thread (and others) and that is your sole reasoning to actually make any kind of post at all, then this forum probably isn't for you.

I agree jonnyboy well said