Hallo,

i want to implement the value of the 5min VWAP in my 30min strategy
i try this:

protected override void Initialize()
....
Add(PeriodType.Minute, 5);


protected override void OnBarUpdate()
....
if (BarsInProgress != 0)
return;

if (ToTime(Time[0]) >= 90000 && ToTime(Time[0]) <= 190000
&& Close [0] > VWAP().VWAPLine (BarsArray [1] ) [0]

I get an error. what am I doing wrong?

Blackburn

I do not knwo anything to Ninja lingo but i know the number of parenthesis should match and in your case it does not so i'd investigate that possibility.

Blackburn 

I get an error. what am I doing wrong?

Helpful if you would post the exact error message.

Mike

Is vwap supposed to be time frame independent?

omaha786 

Is vwap supposed to be time frame independent?

do you mean the same value, but different time frames?

yes vwap is always the same, doesn't matter if 1 min, 10 min, tick, range etc.

Silvester17 

do you mean the same value, but different time frames? yes vwap is always the same, doesn't matter if 1 min, 10 min, tick, range etc.

Yes, that's what I mean. The vwap in your chart seems to be just an approximation. Try 30 min or 60 min chart.

omaha786 

Yes, that's what I mean. The vwap in your chart seems to be just an approximation. Try 30 min or 60 min chart.

here's 1 min, 30 min and 60 min

still same value. or at least it better be.