| flamestillburns |
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Gold User, Member, Platinum User, TeleChart
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| Registered User |
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| Unsure |
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| Wednesday, December 14, 2005 |
| Monday, November 30, 2009 6:02:28 PM |
10
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Bruce,
I took your plot, removed the 390 period Volume Weighted Average Price plot and unchecked the Price History dialogue box “draw on chart”. Then when I overlaid the VWAP 1-Day from 1-Minute plot over the Price History in my top pane, it scaled and line up perfectly against the price history (on all time frames). Except for the doubled up scale column, it seems that this is the calculation that I am looking for and it compares favorably to other chart applications that I have seen (Realtick) that display VWAP. I understand your comment about not knowing how many shares traded at each level, but on a one minute basis, its seems pretty close we are in the ballpark. Notwithstanding all of the dialogue about the VWAP’s relevance or usefulness, the shortcut to the price and volume data in your calculation seems to work fine. Why all the fuss and what am I missing? Ignorance has its place, I guess. Anyway, how do I eliminate one of the scales on my top Price History pane? I am assuming I can not "child plot" the VWAP into my top Price History pane since the price history plot is different. Also, can you show me the Real Code for a “VWAP 2-Day from 1-minute”? For the life of me I can not figure out the nomenclature for RealCode, but I am making some progress.. Thanks for your help.
Tyler
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I don't want this to be a new topic, I am trying the follow the VWAP discussion. I have been following this thread with much interest since I would like to see SF track the one and two day Volume Weighted Average Price. I am rather clueless on the RealCode writing, but couldn't you use the average of the OHLC for each one minute bar for price against the volume for that one minute bar to arrive at the volume weighted price for that bar. The important thing is to "cummulate" the calculation from the first bar of the day to the current bar for the current day (for daily VWAP) and the first bar of the previous day to the current bar (for the 2-day VWAP) rather than run a 20 period volume weighted moving average as indicated in your RealCode?
Tyler
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There have been a few posts code for VWAP (Volume weighted average price), but I have not seen anything that looks useful. Most useful for me would be a calculation of VWAP for a one or two day period (on a ten minute or 30 minute chart), where the calculation would only be the summation Shares Bought x SharePrice (probably closing price) divided by the total shares bought for all bars in the current day only. Does that make sense?
Better yet would be to have the option of picking the period for the calculation. For example, only take the bars from a visually selected bottom and calculate the VWAP for all bars from that bottom to the current bar. So, on a 10 minute chart you could determine the VWAP for the period from a bottom that occurred 25 bars ago to the current bar
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Thanks, that helps. I wish it combined the bars like Telechart (i.e. 2 day, Weekly, etc.) but I can work with this.
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I am trying to change over to Blocks 100%. Can I change my mouse wheel so that it flips through the time frames like telechart rather than making the pane taller or shorter?
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