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Worden Discussion Forum » Customer Training & Support » Ask a Trainer - TC2000 version 12/18 » VWAP Delta

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Snooowman
Posted : Friday, July 14, 2017 1:52:10 PM
Registered User
Joined: 1/28/2014
Posts: 34

Hello I use VWAP often and I've noticed the value is different based on what chart timeframe I use. For instance you can often see a difference if looking at hourly vs 5 min.

I believe VWAP should be the same on all time frames correct? Is this a bug?

Thank you
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Bruce_L
Posted : Friday, July 14, 2017 2:21:43 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

VWAP in TC2000 is not calculated in the tick time frame and then converted to plotted time frame. VWAP is calculated using the bars in the time frame in which it is plotted.

The formula used is:

AVG((O + H + L + C) * V, x) / 4 / AVGVx

Where x is the number of bars in the trading day so far (or the period in a Moving VWAP).


-Bruce
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