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Sorry its not; it changes more often than a 20 period moving average. It would be the same number @ exact end of day, as price would/should be ; which maybe what you are thinking of.
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Is interactive brokers ever going to fix the intraday VWAP indicator?
- Thread starter El_Cubano
- Start date
Sorry its not; it changes more often than a 20 period moving average. It would be the same number @ exact end of day, as price would/should be ; which maybe what you are thinking of.
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Sorry its not; it changes more often than a 20 period moving average. It would be the same number @ exact end of day, as price would/should be ; which maybe what you are thinking of.
It's time frame agnostic as far as how it's displayed. A 1 day vwap, which is the vwap setting for all the charts in the picture, isn't displayed differently based on the time frame of the chart its on. It's calculation is based on price and volume, nothing to do with the timeframe of the chart its dipayed on.
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Sorry; volume weighted average price changes all day. PS;
EL Cubano, HOW could it not change -its based on price/volume, which changes all day?? Hope this helps..........................................................................................................
I know it changes. What I'm saying is that the VWAP line/value is the same and should be displayed the same no matter if on 1 min, 5min, or 15min charts. The VWAP line shouldn't be different on different time frame charts
This carries a bizarre disconnection to reality. But, "Oh well."
Your original query asks about a lack of correspondence between the QuoteZone VWAP and the intraday VWAP which you display on your charts. The lack of correspondence is a mathematical necessity.
Regarding necessities, your insistence that VWAP be measured in one singular way is your primary undoing. Note well, the first 8 words:
"VWAP can be measured between any two points in time but is displayed as the one corresponding to elapsed time during the trading day by the information provider."
https://en.wikipedia.org/wiki/Volume-weighted_average_price
It's an average -- not religion. We humans decide over what length of time. If you don't want an intraday VWAP on your charts, you have the power to take it off.
The any two points in time is the same on the 1min chart and the 5 min charts displayed. So Why then are they displayed different?
And the quotezone vwap is, as far as I know, supposed to be the same two points in time as the intraday vwap on the charts.
So why the discrepancy not only between the charts themselves, but between the charts and the quotezone? The quotezone and charts especially have quite a but of difference. So much so as to throw off one's entry
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Suggestion: Don't bother with VWAP. When it works, it is only by coincidence.
good point
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Thats part of the problem;
a 1 minute chart can easy have 60 times the errors as a 60 minute chart.I like IBKR but frankly thier volume also was full of errors, but IBKR was fine on price/price improvement.
Adding to the complexity;
some charts use a 50 day moving average different- on some charts it stays 50 days all the time; on others a 50 dma turns in to 50 weeks when we switch to a weekly.
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Adding to the complexity;
some charts use a 50 day moving average different- on some charts it stays 50 days all the time; on others a 50 dma turns in to 50 weeks when we switch to a weekly.
It's not a 50 day moving average, but a 50 period moving average. (So, it's a feature entirely under your control.)
The maximum period-length TWS allows is 1000: or a 16.67 hour MA on a 1-minute chart.
On my ES chart, I maintain a 12 hour MA: a look-back of 720 minutes.