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Thanks Ara, here is the final formula. I maintain an
ongoing sum of 390 minutes (min/day) and sample that at the end of the day.
After having a good night's rest I realized what my problem is: I am plotting my
VWAP on the next day instead of on the day it is calculated. I think VWAPs have
some interesting trading opportunities....but read the IB disclaimer before
using them.
Note that during the Xmas holidays (ellipse) something weird
happened... I have no explanation for that yet. I have not
been able to find any data-source for VWAP prices so it is difficult to verify
whether the formula is actually correct.
Thanks everybody for your comments, discussion always helps to
get to the bottom of things!
HermanEndOfDay = TimeNum() == 160000;StartOfDay =
TimeNum() == 093000;TradingHours = TimeNum() >= 093000AND TimeNum() <=
160000;BarsInDay =
390;
// Number of minutes in a dayDailyMF =
ValueWhen(EndOfDay,Sum(V*(H+L)/2,BarsInDay
)); //
calculate daily price*volume (bar-by-bar)DailyVol =
ValueWhen(EndOfDay,Sum(V,BarsInDay
));
// calculate daily volume (bar-by-bar)VWAP =
DailyMF/DailyVol; //
average price/volumeVWAP=ValueWhen(EndOfDay,
VWAP,0);Plot(IIf(TradingHours,VWAP,Null),"VWAP",4,1|4);Plot(C,"Close",1,64);<IMG
alt="" hspace=0 src="jpg00018.jpg" align=baseline
border=0>h-----Original Message-----From: Ara Kaloustian [<A
href="">mailto:ara1@xxxxxxxxxx]Sent: Saturday,
February 21, 2004 11:16 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Calculating VWAP prices with RT dataHerman,I
think you need to look at each transaction separately, then sum the results in a
loop.My understanding from the definition you provided is that you need
data on each transaction, but it may be an adequate approximation if you take
each minute as " a transaction"Ara----- Original Message
-----From: Herman van den BergenTo: AmiBrokerSent: Saturday,
February 21, 2004 6:31 PMSubject: [amibroker] Calculating VWAP prices with
RT dataFurther 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;
//
VWAPPlot(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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