Registered User
Joined: 1/28/2014
Posts: 34
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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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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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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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