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Your feats of coding are amazing... wish I could focus on the trading too, some days very close to giving in, but nothing to give in to, so I keep pluggin'
@Fat Tails, I have attached shots of a 1m and 5m chart taken a few seconds apart. I understand the resolution of the 5m makes the VWAP less accurate, but I have "calculate on bar close" set to false on both, and I would expect the values to be a bit more similar than this. What am I missing here?
On my charts at 6:40 PM EST the VWAP for CL 09-11 was calculated as follows:
5 min chart:: 84.60
1 min chart: 84.50
This is clearly a resolution issue. Actually the volume was relatively high immediately after the session started, so you just need to look at the VWAPs at 6:05 EST. At that time I find
5 min chart 84.99
1 min chart 84.89
The problem is linked to the large high volume candle which plotted right after the open. The candle volume is accounted for at the average price, which is different for the 1 min and the5 min chart.
Yes, this is a typical resolution issue. Note that CL moved 150 ticks during the first 10 minutes.