VWAP values in DOM

Discussion in Sierra Chart

Updated March 8, 2015

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Big Mike with 3 posts (2 thanks)
LukeGeniol with 3 posts (0 thanks)
sixsmith07 with 3 posts (0 thanks)
trendisyourfriend with 1 posts (0 thanks)

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VWAP values in DOM

March 7th, 2015, 04:38 AM	#1 (permalink)
sixsmith07 Oslo, Norway Elite Member Experience: Intermediate Platform: NT, Sierra Broker: IQFEED Stage5 Trading: ES Posts: 307 since Jan 2014 Thanks Given: 282 Thanks Received: 647	Having an issue with my VWAP and deviations in SC. I'm trying to match them to my NT and IRT made by fat tails. Can someone post their Values as of the close yesterday on the ES please. Thanks

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March 7th, 2015, 05:10 AM

#2 (permalink)

LukeGeniol

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Do a search before open a new thread, anyway take a look here

Add VWAP to Sierra DOM?
Mike,

I think I picked thr wrong study - told you i don't use VWAP.

Try this one based on data at 5.07 am EST

Take your Pips, go out and Live.
Luke.

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March 7th, 2015, 05:48 AM

#3 (permalink)

sixsmith07

Oslo, Norway

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LukeGeniol

Do a search before open a new thread, anyway take a look here

Add VWAP to Sierra DOM?
Mike,

I think I picked thr wrong study - told you i don't use VWAP.

Try this one based on data at 5.07 am EST

I read that thread. I was just looking for hard values to confirm that my SC values were not correct. Thanks though

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March 7th, 2015, 08:46 AM

#4 (permalink)

Big Mike

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sixsmith07

Having an issue with my VWAP and deviations in SC. I'm trying to match them to my NT and IRT made by fat tails. Can someone post their Values as of the close yesterday on the ES please. Thanks

VWAP 2080.75
VWAP +2SD 2100.25
VWAP -2SD 2061.25

Mike

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March 7th, 2015, 12:02 PM

#5 (permalink)

sixsmith07

Oslo, Norway

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Big Mike

VWAP 2080.75
VWAP +2SD 2100.25
VWAP -2SD 2061.25

Mike

Just to clarify. Are those rth, or eth? I ask because my values are just slightly off

Thanks again.

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March 7th, 2015, 12:10 PM

#6 (permalink)

Big Mike

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sixsmith07

Just to clarify. Are those rth, or eth? I ask because my values are just slightly off

Thanks again.

Globex, session start 5pm central to session end 4:15pm central.

Mike

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March 8th, 2015, 06:10 AM

#7 (permalink)

LukeGeniol

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I tried on 4 platforms and the vwap is the same. the standard deviations are little different....

Take your Pips, go out and Live.
Luke.

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March 8th, 2015, 10:46 AM

#8 (permalink)

Big Mike

Manta, Ecuador

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LukeGeniol

I tried on 4 platforms and the vwap is the same. the standard deviations are little different....

It has been previously discussed that the VWAP SD's are likely wrong in Sierra, I think @SierraChart is aware of this.

Read post 26 forward here:

multiple day vwap?
Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?

I will post the same chart with my rolling VWAP for comparison.

Mike

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March 8th, 2015, 01:03 PM

#9 (permalink)

LukeGeniol

Italy (IT) Italy

Experience: Advanced

Platform: ATAS, R|Trader, NT8

Broker: Rithmic

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Posts: 1,486 since Apr 2010

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Thanks Received: 986

Big Mike

It has been previously discussed that the VWAP SD's are likely wrong in Sierra, I think @SierraChart is aware of this.

Read post 26 forward here:

multiple day vwap?
Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?

I will post the same chart with my rolling VWAP for comparison.

Mike

I meant that SDs are different in all 4 platforms.... Maybe I will do some other comparisons and maybe I will post some results.

Take your Pips, go out and Live.
Luke.

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March 8th, 2015, 01:21 PM	#10 (permalink)
trendisyourfriend Quebec Canada Market Wizard Experience: Intermediate Platform: NinjaTrader Broker: AMP/CQG Trading: ES, NQ, YM Frequency: Daily Duration: Minutes Posts: 4,581 since Oct 2009 Thanks Given: 4,267 Thanks Received: 6,208	Here are my values using Rancho Dinero's tools:

Last Updated on March 8, 2015

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