Is interactive brokers ever going to fix the intraday VWAP indicator?

[El_Cubano]

The QuoteZone VWAP is the same for the three different time samplings -- 1-day, 5-min, and 1-min. Unless it were a line of slope=0, this is impossible. So, an immediate question: on what time reference is the Quotezone VWAP based?

Given a glance at the PA for the 3 different windows, I would suspect that VWAPs represented are directly, correctly, attributable to those time frames. That leaves the question as to the QuoteZone VWAP which remains the same to all three -- on what time reference is it calculated? That would take some detective work, just fiddling with the time samples til you got correspondence between graph and Quotezone quote.

Outside of the mystery source of time reference for the Quotezone quote, there likely may not even be any sort of going-forward error here. I apologize, but had I the time, I'd love to delve into it.



[poorly written. sorry.]

The vwap indicator is timeframe agnostic. Or it's supposed to be. It's a 1 day vwap so should be same across all time frames. Based off the current days trading

 

[El_Cubano]

%% Amen;
but before he does that= doUble check data, because he most likely knows= VWAP is like a20 period moVing aVerage -it changes all the time/all day.

Double check what exactly? And it's a intraday vwap. Based off that one days trades

 

[El_Cubano]

While the opening candles on the 1-minute chart are missing from that cut, my straw man right now is that the charted VWAPs are correctly displaying VWAP for their time bases, and that the QuoteZone VWAP is representing the totality of (Price*Volume)/Volume since cash open. If that is correct, IB might want to tuck that into the user guide QuoteZone comments to clarify things for the future.


[Unless I'm completely mistaken. It happens. "'Straw man', indeed!" Yep. ]

I have never heard/seen a version of vwap that was different between timeframes. It's a one day intraday indicator based on trades. Time has nothing to do with the calculation.

The quote zone number is accurate and lines up with the vwap on think or swim and tradingview.

No idea what craziness goes on behind the scenes with IB's intraday vwap indicator

 

[maximumpossiblesuffering]

Huh? The vwap is constantly changing. Soon as you draw a horizontal line it'll be different a minute later

It’s called brain damage. I don’t currently use this, but it seems quite a few traders on ET do use VWAP. Since I use IB as well, I am interested in a solution as well.

 

[LS1Z28]

I've heard of people having issues with VWAP accuracy in the TWS platform ever since they introduced it. I would suggest using a different software for charting, or using a different platform. My Sterling platform has never had this issue.

 

[El_Cubano]

I've heard of people having issues with VWAP accuracy in the TWS platform ever since they introduced it. I would suggest using a different software for charting, or using a different platform. My Sterling platform has never had this issue.

I know lots of people have dual chartting and execution platforms. But for me personally I find it super annoying to have to type in a symbol twice into two separate programs. And more importantly not be able to visually track my trades. So for me having separate charting is a no go

 

[tommcginnis]

The vwap indicator is timeframe agnostic. Or it's supposed to be. It's a 1 day vwap so should be same across all time frames. Based off the current days trading

I have never heard/seen a version of vwap that was different between timeframes. It's a one day intraday indicator based on trades. Time has nothing to do with the calculation.
The quote zone number is accurate and lines up with the vwap on think or swim and tradingview.

No idea what craziness goes on behind the scenes with IB's intraday vwap indicator

Happily, you're way wrong. ("Yayyyy?")

Open the Studies section of your charts, and navigate to the Volume Studies.
Click on either of the Intraday Volume Weighted Average Price or the Moving Volume Weighted Average Price.
Fiddle with the time parameters until you get a better correspondence -- so, multiplying the 1-min VWAP look-back by 5 should get you to the 5-min figure. Etc etc.

An issue you'll have is that if the QuoteZone VWAP is "Volume-since-Cash-Open," then that basis will be changing minute-by-minute as the day goes on.

I don't know who put the chart VWAPs on your charts, but you might want to query them, too.

FWIW, NOTHING goes on my charts for which I don't know the ins-and-outs of the calculations, the WHY of it all, and how it provides solid information for robust trading. If I can't explain it to you in a sentence? It doesn't belong on my chart. (Hence, I can understand your dissatisfaction with things thus far.)

Have fun!

 

[El_Cubano]

Happily, you're way wrong. ("Yayyyy?")

Open the Studies section of your charts, and navigate to the Volume Studies.
Click on either of the Intraday Volume Weighted Average Price or the Moving Volume Weighted Average Price.
Fiddle with the time parameters until you get a better correspondence -- so, multiplying the 1-min VWAP look-back by 5 should get you to the 5-min figure. Etc etc.

An issue you'll have is that if the QuoteZone VWAP is "Volume-since-Cash-Open," then that basis will be changing minute-by-minute as the day goes on.

I don't know who put the chart VWAPs on your charts, but you might want to query them, too.

FWIW, NOTHING goes on my charts for which I don't know the ins-and-outs of the calculations, the WHY of it all, and how it provides solid information for robust trading. If I can't explain it to you in a sentence? It doesn't belong on my chart. (Hence, I can understand your dissatisfaction with things thus far.)

Have fun!

The vwap calculations aren't bar based. So doesn't matter of showing 1min bars or 5min bars. Yes there is a time setting. But in this case the setting is the same between the vwap indicators on all the charts. And that is 1 day vwap. A 1 day vwap on a 1 min chart is the same as on a 5 min chart as is the same on a 15 min chart. It's just displaying a calculation on a chart, that calculation doesn't change based on the time frame of the intraday chart it's being displayed on

 

[tommcginnis]

The vwap calculations aren't bar based. So doesn't matter of showing 1min bars or 5min bars. Yes there is a time setting. But in this case the setting is the same between the vwap indicators on all the charts. And that is 1 day vwap. A 1 day vwap on a 1 min chart is the same as on a 5 min chart as is the same on a 15 min chart. It's just displaying a calculation on a chart, that calculation doesn't change based on the time frame of the intraday chart it's being displayed on

This carries a bizarre disconnection to reality. But, "Oh well."

 

[El_Cubano]

This carries a bizarre disconnection to reality. But, "Oh well."

Ok Mr. " you're waaaay wrong".
Thanks for playing