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Ara
and others, the explanation for the Xmas holday descrepancey its that they were
trading half days, my code is looking for 4pm, which never came. Need to check
for the last bar before 4pm...
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<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxxxxxx]Sent: Sunday, February 22, 2004 7:27
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Calculating VWAP prices with RT data
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);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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