extend vwap lines into today

January 29th, 2015, 04:49 AM

@wwwingman, I am using your excellent ECIVwapV1.4 in SC version 1224. I have noticed something strange. When using FDAX or FESX, and setting a chart time of 18:00:00 to 17:59:59 (eastern time), the daily vwap actually calculates as a weekly one. However, it does not do this for ES, etc. If I change session time to 03:00:00 - 11:29:59 (eastern time), it works as expected. Can you think of something I'm doing wrong, or what could be incorrect about the study calculation? Thanks--

January 29th, 2015, 05:22 AM

josh

@wwwingman, I am using your excellent ECIVwapV1.4 in SC version 1224. I have noticed something strange. When using FDAX or FESX, and setting a chart time of 18:00:00 to 17:59:59 (eastern time), the daily vwap actually calculates as a weekly one. However, it does not do this for ES, etc. If I change session time to 03:00:00 - 11:29:59 (eastern time), it works as expected. Can you think of something I'm doing wrong, or what could be incorrect about the study calculation? Thanks--

I dont have much experience with this ECIVwapV1.4 -
It is a great piece of code though

My settings for FDAX ETH
are in central europe time:

8:00:00 - 21:59:59

and it looks ok for daily vwap

for ET (-6h to my time zone):
2:00:00 - 15:59:00

January 29th, 2015, 08:26 AM

josh

@wwwingman, I am using your excellent ECIVwapV1.4 in SC version 1224. I have noticed something strange. When using FDAX or FESX, and setting a chart time of 18:00:00 to 17:59:59 (eastern time), the daily vwap actually calculates as a weekly one. However, it does not do this for ES, etc. If I change session time to 03:00:00 - 11:29:59 (eastern time), it works as expected. Can you think of something I'm doing wrong, or what could be incorrect about the study calculation? Thanks--

Hi @josh

You are right. Something is wrong. I need to check that.

Your solution of 03-12 ET works.

However it seems preferable to set the chart to CET and session to 08:00-21:59:59 (as recommended by @puma) so you are on the real market hours, avoiding daylight saving time related problems.

Please understand I am very busy lately so it may take a week/two until I look at the problem seriously.

Thank you for using this ECIVwap, I like it too

W.

January 29th, 2015, 12:39 PM

Thank you very much @puma and @wwwingman ...

One of the few dislikes I have about Sierra is its 2-tier-only session system. As a result, the regular session times for cash DAX should be 9:00 to 17:29:59 Brussels (CET+1, CEST+2), which is what I have. Post-trading continues from 17:30 to 22:00, and the futures open back up at 8:00. So, to include both the pre- and post- trading, I have to do it this way, since there are only 2 sessions, even though there is a pre- and a post:

So this leads to problems like what I'm currently experiencing. If I do a VWAP study, it will look from 17:30 onward, which is not what I want (I want it to start from 8:00). But the above is the only way to quickly switch to cash session times, which I do like to do.

So what I'm doing is actually starting every session from 18:00 ET on one chart, because that's the time when pretty much everything actually starts (that or later, as in the case of DAX), and not changing session times on that chart. Strange thing is, FESX works fine. It's only DAX, with the above hours I mentioned.

January 29th, 2015, 12:41 PM

@josh, why are you using this third party indicator instead of the built-in Sierra VWAP?

Mike

January 29th, 2015, 12:43 PM

Big Mike

@josh, why are you using this third party indicator instead of the built-in Sierra VWAP?

Mike

I am extending lines from the prior period and this study does it -- I can not find a way to do it otherwise, that would not involve changing the date, as I mentioned a while back:

josh

I like Tom's solution, but here is another that uses built in studies:

1) Create a chart with a date range that ends with yesterday's trade date. Plot VWAP as usual on this.
2) Create your primary chart and use the Study/Price Overlay , and reference the VWAP study in the other chart.
3) In the settings for Study/Price Overlay, set the option "Fill Blanks with last value" to Yes.

The only disadvantage is that you must manually update the end date at the end of every day, but it only takes about 5 seconds to do this if you don't mind.

January 29th, 2015, 12:51 PM

josh

I am extending lines from the prior period and this study does it -- I can not find a way to do it otherwise, that would not involve changing the date, as I mentioned a while back:

So like a naked VWAP? Can you post a chart?

Mike

January 29th, 2015, 01:00 PM

josh

Thank you very much @puma and @wwwingman ...

One of the few dislikes I have about Sierra is its 2-tier-only session system. As a result, the regular session times for cash DAX should be 9:00 to 17:29:59 Brussels (CET+1, CEST+2), which is what I have. Post-trading continues from 17:30 to 22:00, and the futures open back up at 8:00. So, to include both the pre- and post- trading, I have to do it this way, since there are only 2 sessions, even though there is a pre- and a post:

So this leads to problems like what I'm currently experiencing. If I do a VWAP study, it will look from 17:30 onward, which is not what I want (I want it to start from 8:00). But the above is the only way to quickly switch to cash session times, which I do like to do.

So what I'm doing is actually starting every session from 18:00 ET on one chart, because that's the time when pretty much everything actually starts (that or later, as in the case of DAX), and not changing session times on that chart. Strange thing is, FESX works fine. It's only DAX, with the above hours I mentioned.

I agree very much,
Sierra could use a more advanced session system.
I asked Sierra for this - but they say any changes are very complicated and not scheduled currently.

Also the session system can not handle "some" weekend breaks.
and there is a stupid bug at auto roll-over, where times get a reset, but with a wrong time zone.
Its annoying if one has lots of charts and the session times are wrong one morning - of course you dont realize it at frist.

(Sierra is still the best platform to me

)

about your issue:
maybe can be only done with 2 charts ?
I understand you want to quickly switch within one chart. sry dont know.

January 29th, 2015, 01:44 PM

Big Mike

So like a naked VWAP? Can you post a chart?

Mike

The blue shaded area is last week's VWAP -1 to +1 stdev, bold blue line last week's VWAP. Just a way of easily carrying forward prior lines from the vwap. @wwwingman did a great job with it

March 6th, 2015, 07:53 AM

josh

@wwwingman, I am using your excellent ECIVwapV1.4 in SC version 1224. I have noticed something strange. When using FDAX or FESX, and setting a chart time of 18:00:00 to 17:59:59 (eastern time), the daily vwap actually calculates as a weekly one. However, it does not do this for ES, etc. If I change session time to 03:00:00 - 11:29:59 (eastern time), it works as expected. Can you think of something I'm doing wrong, or what could be incorrect about the study calculation? Thanks--

Hi @josh

Sorry for the long delay, but I have not forgotten the issue/bug your talk about.

I am working on simplifying the start of period calculation in the code.

Just to be sure, can you tell me if the problem happens on the sierra sierra standard volume weighted average price ?

-- W.

extend vwap lines into today

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extend vwap lines into today