VWAP reset Indicator

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zegna1
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VWAP reset Indicator

Postby zegna1 » 21 Jul 2011

Hello,

Could anyone help me understand the VWAP reset indicator?
1) Input element Price - default is avgprice, how is this avgprice calculated?
2) Input elements -the 5 time slots
- it doesn't matter what your inputs are, the VWAP value doesn't change. This doesn't make sense, as the day processes, VWAP should change because volume and price constantly change.
- Why 5 time slots?
- If you want to see VWAP on a 15 minute chart, how do you do that?
3) Input element - localhrsoffset, what does this mean?
3) A VWAP true to its definition would have to be built on ticks, is that how this indicator is built?

Thanks

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TJ
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Re: VWAP reset Indicator

Postby TJ » 21 Jul 2011

zegna1 wrote:Hello,

Could anyone help me understand the VWAP reset indicator?
1) Input element Price - default is avgprice, how is this avgprice calculated?

avgprice is a built-in function.
you can find the code in the PowerLanguageEditor.

2) Input elements -the 5 time slots
- it doesn't matter what your inputs are, the VWAP value doesn't change. This doesn't make sense, as the day processes, VWAP should change because volume and price constantly change.
- Why 5 time slots?

the VWAP is reset everyday and at the time slots.

- If you want to see VWAP on a 15 minute chart, how do you do that?

You have to change the code to accommodate that.
It is not difficult, but will take some time and care.
If you don't know how, I would suggest you to start with the manual.

3) Input element - localhrsoffset, what does this mean?

localhrsoffset = local hours offset
in case you live in a different time zone than the exchange.

3) A VWAP true to its definition would have to be built on ticks, is that how this indicator is built?

Thanks

It depends on your setting of the instrument.
You can set your instrument to build volume on ticks, or trade.

zegna1
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Re: VWAP reset Indicator

Postby zegna1 » 22 Jul 2011

TJ wrote:
zegna1 wrote:
2) Input elements -the 5 time slots
- it doesn't matter what your inputs are, the VWAP value doesn't change. This doesn't make sense, as the day processes, VWAP should change because volume and price constantly change.
- Why 5 time slots?

the VWAP is reset everyday and at the time slots.


So does that mean at each of the time slot VWAP is recalculated from the first time slot through the subsequent time slot?

Thanks a lot for your help.

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TJ
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Re: VWAP reset Indicator

Postby TJ » 22 Jul 2011

zegna1 wrote:
TJ wrote:
zegna1 wrote:
2) Input elements -the 5 time slots
- it doesn't matter what your inputs are, the VWAP value doesn't change. This doesn't make sense, as the day processes, VWAP should change because volume and price constantly change.
- Why 5 time slots?

the VWAP is reset everyday and at the time slots.


So does that mean at each of the time slot VWAP is recalculated from the first time slot through the subsequent time slot?

Thanks a lot for your help.

the VWAP is reset everyday and at the time slots

Reset means set to ZERO.


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