Odd values from Order Flow VWAP

[NickyD]

Hello,

I am noticing some values being returned from the order flow VWAP indicator that don't look to be correct. Frequently it will return a value that is a few points different than the tick immediately before or after it. Here is some sample output to demonstrate what I mean:

Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.65810737302
Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.65808560999
Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.6580638471
Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.65804208435
Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.65801953415
Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.65799698409
Current Time: 2/28/2018 1:51:49 PM VWAP: 6933.65797443418
Current Time: 2/28/2018 1:51:51 PM VWAP: 6931.08029038428
Current Time: 2/28/2018 1:51:51 PM VWAP: 6933.65792775963
Current Time: 2/28/2018 1:51:51 PM VWAP: 6933.65783441229
Current Time: 2/28/2018 1:51:51 PM VWAP: 6933.65774106731
Current Time: 2/28/2018 1:51:51 PM VWAP: 6933.65771773143


This seems to occur quite often. Around every 20 ticks or so.

I've attached a test strategy that will generate the debug statements above. If you run on the following chart, you should see the same results:

Instrument: NQ 3-18
Type: Range
Value: 3
Tick Replay Enabled.

1 day loaded with an end date of 2/28/2018
Default 24x7 template

Am I using it incorrectly somehow?

[NickyD]

I forgot a call to .Update() for the VWAP indicator in this test script I created quickly, but this situation will still occur with that present.

[NickyD]

Here's the plot of these stray values

Here's an attachment of the visual plot of these stray values. Note the heart beat blips on the left and right side of the chart. The plot doesn't always indicate when this is happening though... my code sees it happen more frequently than is drawn on the chart.

[NinjaTrader_Jim]

Hello NickyD,

Thanks for opening the thread and bringing this to our attention.

This issue has been reported previously and is currently being tracked with the ticket ID NTEIGHT-12557.

Once a fix is applied, the ticket ID can be seen in the Release Notes page of the help guide. I'll provide a link below.

Release Notes: https://ninjatrader.com/support/help...ease_notes.htm

I look forward to being of further assistance.

[NickyD]

Ok, thanks.

I'm sure others have already thought of this but using something like an SMA is working well enough in the mean time (assuming a fairly fast pace of bars on your chart):

SMA( VWAP.Values[0], 5 )[0]