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

  #1 (permalink)
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Start point for daily VWAP?

When calculating daily VWAP, do most market participants consider the beginning of the trading day to be 1) the end of previous day RTH 2)the beginning of the evening session prior to today's RTH 3)the beginning of today's RTH 4)something else?

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SpeculatorSeth
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I use the start of the extended session. I've found that there is a high probability of returning back to the vwap for the start of the regular session or news releases. So it usually doesn't even matter, and when it does there's an opportunity for a mean reversion play.

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vwap start


TWDsje View Post
I use the start of the extended session. I've found that there is a high probability of returning back to the vwap for the start of the regular session or news releases. So it usually doesn't even matter, and when it does there's an opportunity for a mean reversion play.

i use the vwap bands from the past days trading as fixed bands for the next days session. meaning they dont move there fixed. i start the next days bands at the open. they are floaters meaning they change durning the day. the idea is to look for conflunce of the bands for better areas of S/R . some traders over lay the T wap on top of those / they are time based. i dont.

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TWDsje View Post
I use the start of the extended session. I've found that there is a high probability of returning back to the vwap for the start of the regular session or news releases. So it usually doesn't even matter, and when it does there's an opportunity for a mean reversion play.

That's what I've been using too, but since VWAP is one of those things that the entire community looks at making trading and investment decisions, I think it makes sense to know what price levels the big money is actually looking at.

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forgiven View Post
i start the next days bands at the open. they are floaters meaning they change durning the day. the idea is to look for conflunce of the bands for better areas of S/R . some traders over lay the T wap on top of those / they are time based. i dont.

I'm trying to decide what the community defines as the "open" these days. Since the end of RTH is the settlement, is the period right after that the open, is it the beginning of the evening session after the break, or the beginning of the next day's RTH? The last doesn't make much sense to me since it ignores trading in Europe.

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GLOBEX


jstnbrg View Post
I'm trying to decide what the community defines as the "open" these days. Since the end of RTH is the settlement, is the period right after that the open, is it the beginning of the evening session after the break, or the beginning of the next day's RTH? The last doesn't make much sense to me since it ignores trading in Europe.

there is not that much volume in the GLOBEX and the traders are not good. if you look at the past days settlement and the current days open . the inblance is called the overnight inventory .. if most of the trading is above the settlement the inventory is stacked long , reverse that for short. or if not neather its blanced. 70% of the time the market maker will fade the inbalance and it will retest the settlement. the wider the gap the less the % is it will fill. so i do not run a vwap on the globex for those reasons.


Last edited by forgiven; February 13th, 2018 at 07:32 PM. Reason: spell
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forgiven View Post
if you look at the past days settlement and the current days open . the inblance is called the overnight inventory .. if most of the trading is above the settlement the inventory is stacked long , reverse that for short. or if not neather its blanced. 70% of the time the market maker will fade the inbalance and it will retest the settlement. the wider the gap the less the % is it will fill. so i do not run a vwap on the globex for those reasons.

Interesting. So, at least in the markets you trade, Globex tends to mean revert towards the settlement after the RTH close. Well, in oil there's certainly not much volume after RTH until Europe opens. Which means as the day progresses the trade between 2:30 PM ET and about 3 AM ET won't affect the daily VWAP that much anyway.

On a side note, I used to work with a bunch of guys in a prop group (they were in the group, I was a friend of the heads of the group and traded my own money, but in their facility) who made most of their living fading after hours moves in the US Treasury yield curve. These guys traded with DOMs only, no charts. The proprietors of the group were former CBOT pit traders like myself; one of them had clerked for me on the floor back in the day. I've kind of been away from the market since 2006 and things have changed a lot since then. VWAP was not yet a thing back then. LOL!

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opening types


jstnbrg View Post
Interesting. So, at least in the markets you trade, Globex tends to mean revert towards the settlement after the RTH close. Well, in oil there's certainly not much volume after RTH until Europe opens. Which means as the day progresses the trade between 2:30 PM ET and about 3 AM ET won't affect the daily VWAP that much anyway.

On a side note, I used to work with a bunch of guys in a prop group (they were in the group, I was a friend of the heads of the group and traded my own money, but in their facility) who made most of their living fading after hours moves in the US Treasury yield curve. These guys traded with DOMs only, no charts. The proprietors of the group were former CBOT pit traders like myself; one of them had clerked for me on the floor back in the day. I've kind of been away from the market since 2006 and things have changed a lot since then. VWAP was not yet a thing back then. LOL!

to be able to trade the imblance you have to be able to read tempo . you have to be able to tell what kind of open you have opening drive , opening test drive , open action , open action rejection. if you can not do that the info does not mean much ...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

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jstnbrg View Post
Interesting. So, at least in the markets you trade, Globex tends to mean revert towards the settlement after the RTH close. Well, in oil there's certainly not much volume after RTH until Europe opens. Which means as the day progresses the trade between 2:30 PM ET and about 3 AM ET won't affect the daily VWAP that much anyway.

On a side note, I used to work with a bunch of guys in a prop group (they were in the group, I was a friend of the heads of the group and traded my own money, but in their facility) who made most of their living fading after hours moves in the US Treasury yield curve. These guys traded with DOMs only, no charts. The proprietors of the group were former CBOT pit traders like myself; one of them had clerked for me on the floor back in the day. I've kind of been away from the market since 2006 and things have changed a lot since then. VWAP was not yet a thing back then. LOL!

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

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