VWAP time frame

[wheeler]

Hi Jessica thanks for your answer, I downloaded it from the download area of this page

http://ninjatrader.com/support/forum/local_links.php?s=&catid=4&filter=&sort=N&page=1&pp=15&keyid=12&doit=Go

[NinjaTrader_JessicaP]

Hello wheeler, and thank you for your question. VWAP is not a built-in NinjaScript item. Would it be possible to provide a link to the script you downloaded on the forums? I look forward to assisting further.

[wheeler]

Hello good afternoon, I wanted to ask to see who can help me with the vwap flag that marks me different values when changing time frame, I do not know if there will be any specific configuration or indicator for the daily session that does not oscillate so much, thanks and greetings

Hi Jessica thanks for your answer, I downloaded it from the download area of this page

http://ninjatrader.com/support/forum/local_links.php?s=&catid=4&filter=&sort=N&page=1&pp=15&keyid=12&doit=Go

[NinjaTrader_JessicaP]

Thank you wheeler. I understand you received this indicator from the support forums. Without a link to exactly the indicator you were using, we won't be able to speak to configuring this indicator in particular.

If we can not locate this indicator in the forums, generally speaking, you can use indicators such as the built-in standard deviation indicator,

http://ninjatrader.com/support/helpGuides/nt8/en-us/standard_deviation_stddev.htm?zoom_highlightsub=standard%2Bdeviation

with another indicator as its series input to normalize another indicator and cut down on oscilations. Please let us know if there are any other ways we can help.

[Ricam]

The original post was so poorly written that I can only guess what you meant, but I will take a stab at it.

VWAP Indicators that give different results on charts with different time frames do that because they are coded incorrectly.

For the results to be consistent regardless of the time frame of the chart, the VWAP must be calculated based on a secondary one tick data series.

I am baffled by the Ninjatrader response regarding the standard deviation indicator, which has absolutely nothing to do with your problem and does not seem to reflect any awareness of the concept of volume weighted average price.

[Harry]

VWAP Indicators that give different results on charts with different time frames do that because they are coded incorrectly.

For the results to be consistent regardless of the time frame of the chart, the VWAP must be calculated based on a secondary one tick data series.

This is correct, but a VWAP calculated from 1-tick data takes a high CPU load and is not practical. Actually, the VWAP is pretty accurate when calculated from 1-minute data or something like 100-tick charts.

Let us have a look at today's regular session VWAP for ES 09-17.

Data source 1 tick bars: VWAP = 2434.00 / Upper SD 3 = 2439.75 / Lower SD 3 = 2428.25
Data source 100 tick bars: VWAP = 2434.00 / Upper SD 3 = 2439.75 / Lower SD 3 = 2428.25
Data source 1000 tick bars: VWAP = 2434.00 / Upper SD 3 = 2439.75 / Lower SD 3 = 2428.25
Data source 10000 tick bars: VWAP = 2433.75 / Upper SD 3 = 2439.50 / Lower SD 3 = 2428.00
Data source 1 min bars: VWAP = 2434.00 / Upper SD 3 = 2439.75 / Lower SD 3 = 2428.25
Data source 5 min bars: VWAP = 2434.00 / Upper SD 3 = 2439.75 / Lower SD 3 = 2428.25

For today's VWAP it is accurate to the tick when calculated from 1000-tick bars or 5-minute bars. I have found that for all liquid futures contracts calculating VWAP and bands from 100-tick bars or 1-minute bars is accurate after the first hour of trading counted from the anchor point of the VWAP.

The case might be different, if you wish to use the regular session VWAP during the first 30 minutes of the session. In this case you may need higher resolution input data, but in general 100-tick bars are definitely good enough.No need to use 1-tick data and burn the CPU.

It is always best to search for a trade off between accuracy and CPU load and you will never have any freezes!

I am baffled by the Ninjatrader response regarding the standard deviation indicator, which has absolutely nothing to do with your problem and does not seem to reflect any awareness of the concept of volume weighted average price.

Usually, a VWAP comes with standard deviation bands, as shown on the chart below,. You may also use residual standard deviation bands, residual mean deviation bands or quarter range bands to determine value area and overbought/oversold area.

That is probably the missing link between VWAP and standard deviation.The VWAP is just the volume weighted mean, where the standard deviation indicates the dispersion around that mean.

[Ricam]

vwap short cut calculation

Maybe a high cpu load that would cause problems on Ninjatrader 6.5 running on a TRS-80, but no problems here with vwap indicators using a secondary one tick data series.
In a workspace with 12 charts, each one with its own VWAP.
Half of them running in TickReplay mode.
In NT7, using those short cut calculation VWAPS, there were substantial and very noticeable variations in the vwap values on tick based charts having short vs long time frames. That's why I went this way in the first place.

[Harry]

Maybe a high cpu load that would cause problems on Ninjatrader 6.5 running on a TRS-80, but no problems here with vwap indicators using a secondary one tick data series.
In a workspace with 12 charts, each one with its own VWAP.
Half of them running in TickReplay mode.
In NT7, using those short cut calculation VWAPS, there were substantial and very noticeable variations in the vwap values on tick based charts having short vs long time frames. That's why I went this way in the first place.

Yes, there are indeed noticeable variations (errors) in VWAPs and SD bands, if you calculate them from higher timeframe bars. But there is always a sweet spot, which is the best compromise between effort and result.

Attached is a chart showing FDAX, which is less liquid than ES. I have overlayed the plots calculated from 1-tick data (gold) over the plots calculated from 100-tick data (blue). There are noticeable differences for the pre-session from 8:00 AM to 9:00 AM. But starting with the regular session at 9:00 AM both plots are equivalent.