VWAP values in DOM

March 7th, 2015, 04:38 AM

Having an issue with my VWAP and deviations in SC. I'm trying to match them to my NT and IRT made by fat tails. Can someone post their Values as of the close yesterday on the ES please. Thanks

March 7th, 2015, 05:10 AM

Do a search before open a new thread, anyway take a look here

Add VWAP to Sierra DOM?

Mike,

I think I picked thr wrong study - told you i don't use VWAP.

Try this one based on data at 5.07 am EST

March 7th, 2015, 05:48 AM

LukeGeniol

Do a search before open a new thread, anyway take a look here

Add VWAP to Sierra DOM?

Mike,

I think I picked thr wrong study - told you i don't use VWAP.

Try this one based on data at 5.07 am EST

I read that thread. I was just looking for hard values to confirm that my SC values were not correct. Thanks though

March 7th, 2015, 08:46 AM

sixsmith07

Having an issue with my VWAP and deviations in SC. I'm trying to match them to my NT and IRT made by fat tails. Can someone post their Values as of the close yesterday on the ES please. Thanks

VWAP 2080.75
VWAP +2SD 2100.25
VWAP -2SD 2061.25

Mike

March 7th, 2015, 12:02 PM

Big Mike

VWAP 2080.75
VWAP +2SD 2100.25
VWAP -2SD 2061.25

Mike

Just to clarify. Are those rth, or eth? I ask because my values are just slightly off

Thanks again.

March 7th, 2015, 12:10 PM

sixsmith07

Just to clarify. Are those rth, or eth? I ask because my values are just slightly off

Thanks again.

Globex, session start 5pm central to session end 4:15pm central.

Mike

March 8th, 2015, 06:10 AM

I tried on 4 platforms and the vwap is the same. the standard deviations are little different....

March 8th, 2015, 10:46 AM

LukeGeniol

I tried on 4 platforms and the vwap is the same. the standard deviations are little different....

It has been previously discussed that the VWAP SD's are likely wrong in Sierra, I think @SierraChart is aware of this.

Read post 26 forward here:

multiple day vwap?

Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?

I will post the same chart with my rolling VWAP for comparison.

Mike

March 8th, 2015, 01:03 PM

Big Mike

It has been previously discussed that the VWAP SD's are likely wrong in Sierra, I think @SierraChart is aware of this.

Read post 26 forward here:

multiple day vwap?

Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?

I will post the same chart with my rolling VWAP for comparison.

Mike

I meant that SDs are different in all 4 platforms.... Maybe I will do some other comparisons and maybe I will post some results.

March 8th, 2015, 01:21 PM

Here are my values using Rancho Dinero's tools:

VWAP values in DOM

Discussion in Sierra Chart

VWAP values in DOM