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VWAP - Do you trust it?


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VWAP - Do you trust it?

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  #1 (permalink)
 Tyro 
Houston Texas
 
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I have vwap and full-session-vwap set up on my charts using Study-Overlay. I'm using 30 minute for this comparison.

While it seems to function correctly. vwap on SC charts does not align with vwap on Ninja, Tradingview, IRT or TOS. They don't match each other perfectly but SC is the statistical outlier.

There are few SC vwap study parameters and none change it enough to come close to consensus with the other packages I mentioned. I've tried changing them all.

I am asking here because I've read the Sierra-Chart support board and they dismiss any errors on their platform.

Any thoughts on vwap accuracy?

Thanks

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  #2 (permalink)
 Schnook 
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Which markets are you looking at? Are you using Sierra Chart's Denali datafeed or a different data provider? How significant are the differences you're seeing?

I use VWAP in Sierra using Denali data (I focus mostly on the Treasury markets) but haven't compared the values to any other platforms so can't say with absolute confidence that what I'm looking at is "correct" or not, but I do know that some of the free data feeds out there aggregate their data, which could lead to differences in the calculated results.

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 Tyro 
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Markets are all index futures through Denali. The differences can be as much as 8 points.

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 Schnook 
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I'm also using Denali data through Sierra Chart.

Using the default settings for the VWAP study, my charts show values as of today's close (Dec. 14, 17:00 Eastern time) of 4625.288 for ES and for 15884.289 NQ. How do these compare to what you're seeing?

Also, could the roll have anything to do with it? We are pretty much just trading March contracts now but depending on when you compared values we might have been in the midst of the rollover period, where one chart was still showing Z1 and the other was already on H2. Just a thought...

Edit - one more thought - if your intraday chart settings have "Use Evening Session" selected, it might be recalculating new values after the old 16:15 close, which would also throw things off by quite a bit.

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 AllSeeker 
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While I don't know about others, I had spoken with TV team long back and was told that they don't calculate vwap on tick data. At that time I was experiencing major differences in values on Ninja and TV vwap bands, I thought that explanation made sense.

I suspect others might have problems related to data only, vwap has fairly straight forward formula so different outcome with same data should be near impossible.

In which case, it's probably fairly in line with what SC support teams notorious reputation, they will mostly ignore it.

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 bobwest 
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Tyro View Post
While it seems to function correctly. vwap on SC charts does not align with vwap on Ninja, Tradingview, IRT or TOS. They don't match each other perfectly but SC is the statistical outlier.
...

I am asking here because I've read the Sierra-Chart support board and they dismiss any errors on their platform.

Any thoughts on vwap accuracy?


Schnook View Post
Using the default settings for the VWAP study, my charts show values as of today's close (Dec. 14, 17:00 Eastern time) of 4625.288 for ES and for 15884.289 NQ. How do these compare to what you're seeing?

Also, could the roll have anything to do with it? We are pretty much just trading March contracts now but depending on when you compared values we might have been in the midst of the rollover period, where one chart was still showing Z1 and the other was already on H2. Just a thought...

Edit - one more thought - if your intraday chart settings have "Use Evening Session" selected, it might be recalculating new values after the old 16:15 close, which would also throw things off by quite a bit.

It would be helpful to have some charts of at least one SC example and at least one non-SC example, as well as info on chart settings, especially time and contract settings (and roll dates), as @Schnook mentioned. It is hard for anyone to help find an explanation to the question "Why are these two things different," if the two things are not shown for comparison.

Also, as @AllSeeker mentioned, there may be differences in computation. The actual way to compute VWAP, if you are a total stickler, is trade-by-trade: each trade, and its volume, is one data point. This will take a lot of processing and is not generally worth it. I think that it is usually done bar-by-bar, which means taking the volume and price of each bar and not of each trade as your basic data. So there may be differences there depending on the calculation method. Probably these will not be a big deal, but they might in particular situations.

I am sympathetic for you not wanting to take a chance on the SC support response ( ). I do, however, think there is a good chance that the SC computation is right, assuming all the date/time and contract settings are the same. Maybe I've just drunk the SC Kool-Aid, but they do tend to be pretty precise about things.

In any case, chart images and setting info may be of help here.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
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 seveneigthtsix 
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Are you comparing RTH or ETH trading hours?
If ETH, make sure the start time for the new day is the same on all platforms, NT seems to use "midnight" for start of day, SC seems to start new day at 18:00, which will make a difference to VWAP calculation.
Also % setting for calculation of bands might vary.
Just some thoughts ...
Cheers!

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 forgiven 
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it depends what you are using it for , in a trending market price will bounce of it more times that not . going side ways not so much .

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