is there any good and real vwap indicator?

Questions about MultiCharts .NET and user contributed studies.
eyal
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is there any good and real vwap indicator?

Postby eyal » 30 Oct 2014

the one called vwap_Reset is'nt right at all.

any ideas? i saw that there is a vwap data in IB options is there any way to extracted this data?

eyal,

MidKnight
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Re: is there any good and real vwap indicator?

Postby MidKnight » 30 Oct 2014

Describe what you mean by "good" and "real"? I have coded my own one, but I do not know if it meets your criteria. Happy to share if it does.

eyal
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Re: is there any good and real vwap indicator?

Postby eyal » 30 Oct 2014

i compered the one that is came with multicharts to any other system(tos and etc..) and the result is different from the multicharts VWAP_RESET

can i try yours?

MidKnight
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Re: is there any good and real vwap indicator?

Postby MidKnight » 30 Oct 2014

Its possible the results are different because you applied their vwap on something other than a 1 tick chart. The true vwap for the day is calculated from a 1 tick chart. The nearer you get to the end of the day, the closer a different chart (such as a 1min) will be to a 1 tick chart VWAP -- in most cases.

MidKnight
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Re: is there any good and real vwap indicator?

Postby MidKnight » 30 Oct 2014

I should also add that its likely that the "real" vwap will vary depending on datafeed and if the data came from real-time collection or from historical backfill.

eyal
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Re: is there any good and real vwap indicator?

Postby eyal » 31 Oct 2014

the data is from IB so i guss is good?
the vwap applied on one tick.

any ideas?

MidKnight
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Re: is there any good and real vwap indicator?

Postby MidKnight » 31 Oct 2014

IB does not provide tick data.


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