VWAP is Different - Trade-Ideas vs IB TWS (Pic)

G

gaz0001

Morning Everyone,

Did anyone ever notice a difference in VWAP on different Software suites/charting providers?

I just noticed on some Pre-Market trading with ticker OXBR.
I use Trade-Ideas for Daytrading Scanner, and TWS for orders.

I had an alert go off for a VWAP bounce in Trade-Idea, then when i went into TWS to study the chart, i seen a huge difference.

OXBR Example
https://ibb.co/0nJ3DLb
TI VWAP = 4.61
TWS VWAP = 4.42
Difference = 4.2%

AEHR Example
https://ibb.co/Xsw8gHS
TI VWAP = 4.30
TWS VWAP = 4.20
Difference = 2.3%

NXRP Example
https://ibb.co/ZmqJCW1
TI VWAP = 14.61
TWS VWAP = 14.5
Difference = 0.8%
 
Last edited:
gaz0001 said:
Morning Everyone,

Did anyone ever notice a difference in VWAP on different Software suites/charting providers?

I just noticed on some Pre-Market trading with ticker OXBR.
I use Trade-Ideas for Daytrading Scanner, and TWS for orders.

I had an alert go off for a VWAP bounce in Trade-Idea, then when i went into TWS to study the chart, i seen a huge difference.

OXBR Example
https://ibb.co/0nJ3DLb
TI VWAP = 4.61
TWS VWAP = 4.42
Difference = 4.2%

AEHR Example
https://ibb.co/Xsw8gHS
TI VWAP = 4.30
TWS VWAP = 4.20
Difference = 2.3%

NXRP Example
https://ibb.co/ZmqJCW1
TI VWAP = 14.61
TWS VWAP = 14.5
Difference = 0.8%
More...
Before you delve too deep into this,
here's some Food for Thought . . .
Interactive Brokers data quality
https://www.elitetrader.com/et/threads/interactive-brokers-data-quality.233301/

You might also want to the compare the results of the two different feeds over a large enough sample size to convince you which FRESH data is more desirable.

IB 'Old' data is different than the Fresh data.

Good Times.
 
Comparing two (or more) sets of data won't give you anything other than a feeling.

Figuring out WHY they are different (i.e. the methodology) will give you much more information. You might find your own methodology is flawed as a result.

I laugh every time someone uses the NYSE or Nasdaq A/D line without knoiwng that it contains a LOT data that is actually irrelevant or misleading to the purposes of using such data (preferreds, multiple share classes, warrants). The Nasdaq one also includes ETFs and the NYSE did historically.

Garbage in Garbage out!

Of course don't expect a broker to provide a top quality data service - it is not their main business.
 
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