VWAP Indicator with 1SD and 2SD bands - Page 8

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VWAP Indicator with 1SD and 2SD bands

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08-03-2007, 11:43 AM

dbntina

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VWAP Indicator with 1SD and 2SD bands

Guys I am not a TS coding guru by any means...still new at it but wanted to share this code if anyone else was interested. Just wrote this code for myself to keep up with JPERL's threads on Market Statistics. It plots the VWAP, and 1st and 2nd Standard Deviation bands. It lines up with his numbers within a tick or two so I think it is working correctly.

Any other TS coders out there please take a look because it can probably be improved upon.

This is my first...

Click here to read the entire release

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DBVWAP_SD.ELD (5.0 KB, 544 views)

#70 (permalink)

By jperl on 03-14-2008, 05:36 PM

Re: VWAP Indicator with 1SD and 2SD bands

	Quote:	justlurkin
	Jerry, Here is the problem as I see it and currently a deadlock for me. I've posted on another thread but haven't had a response just yet. Depending on how the source code for real time data is implemented for various feeds this might differ. IB feed is sampled data and continuously updates volume to catch up with the ticks. Same with OpenTick. The bottom line means the bands will differ drastically based on backfilled data (which should be total volume accounted for) vs data that was accumulated throughout the day (sampled ticks and their respective sizes). Additionally, since IB data is sampled, price bars may also differ in a backfill compared to what was accumulated live, but this would only have a minor impact on VWAP. As for SD, the volume change would have a drastic impact. Consider 2 numbers with the same average but with different highs and lows (same average, completely different SD). At the moment I am stuck, it seems that OpenTick feed for YM (streaming) is accurate, but backfill mucks it all up. Depending on implementation, IB feed can/cannot be good for accuracy. Do they use Volume updates as volume or is volume derived from and accumulated from every tick sent? If using volume updates then you have a situation where you have increased the weighting but have incorrectly attributed that weighting to the current bar! (remember a voume update means more volume but at what prices??) This is my understanding so far....

You raise some interesting questions, with unfortunately no interesting answers. I think what is need here is some kind of comparison of various data feeds on the tick level to see how they compare. I have not looked into this so I can't provide any guidance.

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