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Hello all.. I'm having a very challenging time setting up my VWAP study in Sierra Chart for MES. The default out of the box VWAP settings are very limiting to when it begins its calculation. Please see screenshot below.
Here's what I'm trying to go for and I am hoping I could get some help from some experts. I'd like to have a VWAP that covers the overnight session into the regular pit session and stops plotting at the end of the regular pit session.
The overnight VWAP (rolling VWAP?) would then reset and begin plotting at 4:01pm EST to begin the next session.
I also want to have a regular pit session VWAP that starts and stops within the regular pit trading hours (9:30am-4:00pm).
For the life of me I cannot accomplish this because Sierra isn't giving the option for a start and stop time. Does this require some sort of custom study/coding?? Please help!
EDIT: I also have my Session times to how I want. See screenshot, hopefully this helps.
Can you help answer these questions from other members on NexusFi?
I am not sure if this is the only way but I do what you want by having seperate charts and then use 'Study Overlay' to bring the required VWAP's onto the main trading chart.
So in your case (assuming your main chart's session is the full trading day - 23 hours) will be to have a seperate chart for just the pit/cash session and then another chart with just the overnight hours.
Pop a VWAP onto to each of those new charts and overlay the results to the main chart.
Prediction is very difficult, especially about the future - Niels Bohr, Danish Physicist
1) Since you're using MES: I'd recommend plotting all data based on ES, not MES. To still trade MES but see all ES data, set the "Symbol" to ES, the "Trade and Current Quote Symbol" to MES, and check the "Use as trade only symbol" box. You get ES data, ES quotes, everything ES, except that the order will be placed on MES.
2) I'm not sure why you'd want to calculate the VWAP starting after the cash close. The VWAP is actually used by algos run by funds, and they will all calculate it starting at the day start: 6pm ET. For that matter, while some people do start it at the cash open, this really doesn't make much sense either, but of course how you use it is up to you.
3) steve already covered this a bit, but this is what you should do:
* create a chart that has a start time of 16:00, and an end time of 15:59:59
* put your VWAP on this chart, using the settings you have below except that it should have no start date/time
* on your main chart, use the study/price overlay study, and reference the VWAP you just put on your new chart. see SC docs for all details of this study
Repeat the above for any variation that you need. For example, your main chart has a 9:30 - 16:15 time, but you want a different time for your "pit session" (not the pit session, but the cash session). So create a 9:30 - 16:00 chart, and repeat the above.
Note that there is a "VWAP - Rolling" study but this is not what you really want here, so the above should do what you need.
You'll need to overlay the VWAP study from two other charts of the same symbol and bar time, each with their own session times.
Try this:
1. Remove the VWAP study from your main 3 min chart.
2. Add another 3 min chart to the chartbook.
- Set its Session Times to the pit session times. Do not check Use Evening Session.
- Add the VWAP study. (Not the VWAP-rolling study).
3. Add yet another 3 min chart to the chartbook.
- Set its Session Times to the overnight session times. Do not check Use Evening Session.
- Add the VWAP study. (Not the VWAP-rolling study).
4. On the main 3 min chart, add the Study/Price Overlay study.
- Set the 'Study To Overlay' to the pit session chart and its VWAP.
- Set the 'Bar Time Matching Method' to Containing Match.
- Set the 'Fill Blanks With Last Value' to No.
5. On the main 3 min chart, add another Study/Price Overlay study.
- Set the 'Study To Overlay' to the overnight session chart and its VWAP.
- Set the 'Bar Time Matching Method' to Containing Match .
- Set the 'Fill Blanks With Last Value' to No.
Thanks a ton @josh, I was not aware of the option to have an ES DOM up but all orders get put through MES. That's awesome! I was having a separate ES DOM open and all ES charts, but was using a MES DOM for order entry. You just saved me some screen real estate. Also, I've adjusted my ETH VWAP to begin calculating at 6pm and continue until the next days end and restart at 6pm next day.
I like to also have a separate VWAP that begins at the regular cash open because, from my limited experience, I've witnessed price respond to the SD's/VWAP during the intraday session quite well. It just falls within my current strategy for finding entries/exits.
I have followed both you and Josh's steps and completed this! I have everything setup as intended, TY! I have repeated the steps for the SD's as well and feel comfortable with this Overlay study.
One followup question/issue that I am having... On my main chart that displays the cash (regular) session it is plotting the VWAP line from overnight with different graphic settings. See screenshot below. The red/green line that is changing due to price being above/below is the overnight VWAP line that I am wanting to modify. I have been unable to figure out how to adjust these graphic settings.
I've opened up the Subgraph settings for the Overlay study and changed everything I could with no effect on the plotted overnight VWAP line. Could you point me in the direction as to how to graphically modify this overlayed VWAP?
I've changed color, width, everything... no effect on the red/green VWAP line as displayed above. I guess I'm sorta picky with how my charts are setup.
Yep, I had missed that from your previous post. Got it now. However, something interesting is happening now. The Study overlay is showing lines through the overnight session.
I've placed the pit session study as the overlay to my main chart but it's still plotting horizontal vwap/sd's into the overnight? Take a look.
