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Start point for daily VWAP?
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Start point for daily VWAP?

  #11 (permalink)
Legendary Market Wizard
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I've always been surprised that exchanges don't actually publish VWAP for liquid contracts, and given the success of TAS/Trade at Settlement and TAM/Trade at Marker products also a TAVWAP/Trade at VWAP product. I would have thought there would be considerable interest in it.

Just curious @michaelleemoore when you talk about VWAP on ES, CL, NQ and YM how are you calculating that? Through an indicator I assume but what resolution do you use?

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  #12 (permalink)
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michaelleemoore View Post
I use both the RTH and ETH vwaps. As the RTH develops, I give it more weight, but ETH rules the first hour or so of the RTH, at least for me. I'm looking for fades around vwap, and both RTH and ETH offer opportunity. Days when they get very close to together make for easy fades for scalpers like me. ES is quite attentive to vwaps, as is CL. NQ and YM tend to stray much further from their vwaps, but are still somewhat allegiant to them.

Michael

I was going to say something like this, but Michael beat me to it and did it better.

I would add that, as the RTH day goes on, the two lines tend to get pretty close, as is natural because the cumulative effect of the much higher RTH volume soon has much more weight and bends the ETH line to meet the RTH line.

Another thing to say is that this is partly a function of who is in the market, and at what times.

For ES, European traders come in around 3:00 AM US Eastern Time, and they stay though the US Open at 9:30 ET until about 11:00 or 11:30 ET. You can see noticeable volume increases every day at 3:00 ET, and a huge one at 9:30 of course, and a drop after 11:00 as they leave. (Impending lunch hour in Eastern US locations probably is a factor in the drop also. )

One point of this is that you would expect whatever went on during ETH to get less important during the day, both because of the much greater RTH volume and because of who is trading, and when/where they may have put on positions. After the US open, a progressively smaller percentage of traders have made any decisions during the ETH hours, and ETH prices and levels would be expected to become less important.

Bob.

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  #13 (permalink)
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forgiven View Post
...how do you trade it in real time...you can use a dome on bonds they trade slow. that dome is not so easy to use on fast markets like oil or the ES

Absolutely. And most of these guys got driven out of the business by HFT anyway. Including myself. I started getting legged up on spreads (my autospreader would get one leg but miss the other and I'd have to scramble to either scratch the outright, take a loss, or get a bad fill on the spread) and that drove my profitability from pretty good to pretty much zero. And it happened in ONE DAY. For two years I was consistently profitable on the screen, increasing my size 100 fold and in one day it just ended. Not a gradual tailing off, it just ended.

Which should be a lesson to us all, don't count on being able to do tomorrow what is easy today.

"You don't need a weatherman to know which way the wind blows..."
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  #14 (permalink)
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michaelleemoore View Post
I use both the RTH and ETH vwaps. As the RTH develops, I give it more weight, but ETH rules the first hour or so of the RTH, at least for me. I'm looking for fades around vwap, and both RTH and ETH offer opportunity. Days when they get very close to together make for easy fades for scalpers like me. ES is quite attentive to vwaps, as is CL. NQ and YM tend to stray much further from their vwaps, but are still somewhat allegiant to them.

Michael

Do you keep standard deviation bands on your screen for both RTH and ETH? That must get MESSY!

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  #15 (permalink)
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SMCJB View Post
I've always been surprised that exchanges don't actually publish VWAP for liquid contracts, and given the success of TAS/Trade at Settlement and TAM/Trade at Marker products also a TAVWAP/Trade at VWAP product. I would have thought there would be considerable interest in it.

Just curious @michaelleemoore when you talk about VWAP on ES, CL, NQ and YM how are you calculating that? Through an indicator I assume but what resolution do you use?

Hey @SMCJB,

This is an area where my knowledge is scant. I use the VWAPs created by Fat Tails. I don't know how they're drawn, and my feeling is that he knows far more than I ever will. I'm guessing there are many ways to find the #, but Harry's #s work for me, so I'm sticking with it.

Wish I had a smarter answer, but I'm just a knuckle-dragging scalper/

Cheers,

mlm

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  #16 (permalink)
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michaelleemoore View Post
Hey @SMCJB,


Wish I had a smarter answer, but I'm just a knuckle-dragging scalper/

Cheers,

mlm

Somehow, knuckle draggers (all of us) evolved into nuclear physicists! Don't knock the knuckle draggers.

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  #17 (permalink)
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sclaping of the vwap


jstnbrg View Post
Absolutely. And most of these guys got driven out of the business by HFT anyway. Including myself. I started getting legged up on spreads (my autospreader would get one leg but miss the other and I'd have to scramble to either scratch the outright, take a loss, or get a bad fill on the spread) and that drove my profitability from pretty good to pretty much zero. And it happened in ONE DAY. For two years I was consistently profitable on the screen, increasing my size 100 fold and in one day it just ended. Not a gradual tailing off, it just ended.

Which should be a lesson to us all, don't count on being able to do tomorrow what is easy today.

there are people that can do that but i am not one of them.

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  #18 (permalink)
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forgiven View Post
there are people that can do that but i am not one of them.

If you mean "people who can count on being able to do tomorrow what is easy today", they are fooling themselves in my opinion. I think the lesson to take away from it is to avoid living as though the income you earn today will always be available to you. There was a period in my career when I thought I could make seven figures with one hand tied behind my back. But my wife was too sensible to let us live that way, and 20 years later I'm still living comfortably on what I made in the 1990s. Never took a private jet to a golf outing, etc. On the other hand I was once offered $5000 to shave my head and I regret to say I turned it down. That money could have gone to a worthy cause. I miss the pits very much.

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