Price/Volume Relationship
- Thread starter bluedemon77
- Start date
Does anyone know how to calculate the vwap for ES futures using esignal?
It took me 12 years to develop this approach so it isn't any wonder it isn't well known.
I think it is possible with IQ feed. You need to check.
The bottom indicator is an Ergodic Indicator. I use it only to confirm Trend and oscillations not to trade from.
The yellow trend lines on the price portion of the chart are taken from the Prime Oscillations on the next fastest incremental chart (in this case the 343. And yes, I trade based solely on S/R, no averages (a variable), channels (a variable) or anything else. If it can't be used objectively I don't want it.
Depends in part on how you're defining "low". You can always zoom in to a smaller interval in order to find a trade, but if volume is that low, then how attractive is the trade? In other words, the WRBs may look tempting, but if there is insufficient volume, will they meet your entry criteria?
LC
Quote from dandxg:
The problem with volume bars, I found Pro Logic is that they don't get cut at the right volume because of block trades. This happened to me in both Esignal and Sierra Chart. According to a post a ways back from you, if they aren't consistent that's no good. I am going off memory, but I do recall a post of you made in about a month ago. I don't know if multi charts can cut a bar at exact volume, but if Esignal can't that seems to be a problem with using volume bars.
I did appreciate your taking the time to educate us.
The only software I know that builds the bars correctly is Ensign and MultiCharts. I've been told that Sierra does but have been unable to verify that yet. You are correct. If the software doesn't cap the bars to the exact number of contracts or shares designatied per bar then then clarity the volume bars offer is rendered useless.
Ensign is a pain to use because of the "refresh" feature.
You are absolutely correct about them filtering out the noise. They are perfect for that. But remember because they are constant (at least Ensign & MultiCharts bars) they are uneffected by spikes in volume on extreme tops or bottoms they simple move faster . . . without the noise. In low volume times they simply move slower . . . without the noise but in either case their movement is consistent. Trends exist one chart increment at a time. If you "Zoom in" on a chart you are rendering the trend on that chart useless become you have MOVED the chart increment to a faster oscillation.
Actually, to hazard an answer my own question...
I have a counter on my chart that ticks off the # of contracts remaining before the bar closes. Admittedly, I'm unable to watch every click of the thing, but I have yet to see evidence that TS' CVBs are not capped at the specified number. But I'll continue to watch...