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All i
can say is to do a search on the IB website for VWAP that will give you the
formal stuff. I think it is mostly designed for longer term trading where you
want to eliminate the risk of daily volatility. Read <A
href="">http://www.plexusgroup.com/commentaries/COMM-59.pdf
<FONT face=Arial color=#0000ff
size=2>
VWAP
Pricing can be used to rate your entries and exits, suppose you are long and you
enter below the VWAP you could call that a good entry.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: Ara Kaloustian
[mailto:ara1@xxxxxxxxxx]Sent: Sunday, February 22, 2004 1:25
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Calculating VWAP prices with RT data
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
<FONT face=Arial color=#0000ff
size=2>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. <FONT
size=2>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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