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Further to my earlier post copied down below I tried to code the
daily VWAP prices for RT data but i am getting some results but it
"doesn't look" good. For example I cannot imagine how a VWAP price can be
outside the daily high and low... comments invited on what could be wrong with
my code. See definition of VWAY below.EndOfDay = TimeNum() ==
160000;StartOfDay = TimeNum() == 093000;TradingHours = TimeNum() >=
093000AND TimeNum() <= 160000;
DailyMF =
ValueWhen(EndOfDay,Sum(V*(H+L)/2,390)); //
calculate daily price*volumeDailyVol =
ValueWhen(EndOfDay,Sum(V,390));
// calculate daily volumeVWAP =
DailyMF/DailyVol;
// VWAP
<FONT
size=2>Plot(IIf(TradingHours,VWAP,Null),"VWAP",2,1);Plot(C,"",1,64);Plot(StartOfDay,"StartOfDay",5,2|styleOwnScale);Plot(EndOfDay,"EndOfDay",4,2|styleOwnScale);Plot(NOT
TradingHours,"ExtHours",0,styleArea|styleOwnScale);Thanks,Herman.
Hello,Has anybody written a VWAP formula for RT data? I would be
happy with a minute approximation."...The VWAP for a stock is calculated by
adding the dollars traded for every transaction in that stock ("price" x "number
of shares traded") and dividing the total shares traded.A VWAP is
computed from the open of the market to the market close, and is calculated by
volume weighting all transactions during this time period."[ <A
href=""
target=_blank>http://interactivebrokers.com/html/tradingInfo/orders/vwapOrders.html
]Thanks,hermanSend BUG REPORTS to
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