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Herman,
Is there a description of how to use VWAP for
trading? .. Sounds like it may have potential... I am just not familiar with
it
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, February 22, 2004 4:34
AM
Subject: RE: [amibroker] Calculating VWAP
prices with RT data
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...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>h
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxxxxxx]Sent: Sunday, February 22, 2004 7:27
AMTo: <A
href="">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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