Download software Tutorial videos
Subscription & data-feed pricing Class schedule


New account application Trading resources
Margin rates Stock & option commissions

Attention: Discussion forums are read-only for extended maintenance until further notice.
Welcome Guest, please sign in to participate in a discussion. Search | Active Topics |

VWAP Delta Rate this Topic:
Previous Topic · Next Topic Watch this topic · Print this topic ·
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

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
Personal Criteria Formulas
TC2000 Support Articles
Users browsing this topic
Guest-1

Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.