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 post of a file so if I screwed something up...be gentle!

Hope this helps,

dbntina
boxmeister

[Sparrow]

My suspission is that the TS version doesn't use the real average in the SD calculation, however I haven't invested a lot of time in understanding the code.

PriceW = PriceW + currVol*avPrice;
VolumW = VolumW + currVol ;
VolWAPValue = PriceW / VolumW;
.
.
.
diffPc = avPrice[ii]-VolWAPValue;

e.g. avg of 9/5 + 5/3 not equal 14/8;

My NT version SDs look very narrow compared to the others, although the 1st SD has held up price very well ... most likely a bug somewhere.

[Sparrow]

The VWAP has a very long memory because it hasn't got a period, that's why it takes a whole lot to change the width of the SDs after some time.
Ensign doesn't look so different from the NT version, problem is that if one SD is off the error gets multiplied with each next SD. Small differences can have a huge impact.

Therefore it would be interesting to know if the VWAP has been setup equally in all charts. The only parameter is start time, so nothing much to choose from.
Just trying eliminate one source of error here.

Cheers

[lj2500]

I haven't tried the VWAP from the link trunner supplied (yet). That one is a design your own study. Ensign has added vwap as a standard study now, so there should no longer be a need to use the dyo. Although, I will try it over the weekend. I would have thought the ensign designers would have compared the two.

As for jperl's version. I have asked him he said there are minor differences between his version and the built in vwap study in ensign (I took this as he developed his own study by coding it himself). I don't know if his JAN 10 chart looks like mine. JPERL, if you are reading...do you mind making a comment?

It looks like we don't know what the "real" one should look like (I guess the institutional traders' version)...how are we going to figure this out? I guess we can compare all of ours together...can others post their vwap FOR JAN-10? With the start time being the globex open of 4:30pm on Jan9?

[jperl]

Originally Posted by lj2500 »

I haven't tried the VWAP from the link trunner supplied (yet). That one is a design your own study. Ensign has added vwap as a standard study now, so there should no longer be a need to use the dyo. Although, I will try it over the weekend. I would have thought the ensign designers would have compared the two.

As for jperl's version. I have asked him he said there are minor differences between his version and the built in vwap study in ensign (I took this as he developed his own study by coding it himself). I don't know if his JAN 10 chart looks like mine. JPERL, if you are reading...do you mind making a comment?

It looks like we don't know what the "real" one should look like (I guess the institutional traders' version)...how are we going to figure this out? I guess we can compare all of ours together...can others post their vwap FOR JAN-10? With the start time being the globex open of 4:30pm on Jan9?

Can't comment at this time because I am out of town and won't be back until Jan. 15th. If someone reminds me, I will take a look at the data when I get back.

[BlowFish]

Where people some times come unstuck is the weighting. As the volume changes every single data element needs re-wighting taking into account the new total volume.

Cheers.

[cosmic]

Thank you guys for the VWAP Bands!

Has anybody a ELD for the developing PVP for TS?

Cheers,
cosmic

[jperl]

I have had a chance to take a look at the Ensign internal plot for VWAP. To be clear, I do not use this code, but wrote my own using Ensigns ESPL language.
Here is what I found:

For VWAP, Ensigns computation and mine are dead nuts on. No difference.
For the SD of the VWAP, there appears to be minor differences between my code results and Ensigns for most charts that I have looked at, EXCEPT FOR ES DATA of JAN 10. The comparison is shown in the two charts below:

In the first 1 min chart for the time period from the 9:30 EST open to about 11:30, the SD's are very close.
HOWEVER, from about 11:30 on, there is considerable disagreement as shown in the second chart.
I do not know the source of this disagreement, but it appears to be related to the large increase in volume occurring after 11:30.
I have submitted this info to Howard Arrington to look at, but I have not heard back from him.
If any of you use ensign, you might wish to nudge him about this to get a response.

[thrunner]

Thank you very much for the update and explanation, Jerry. Attached please find two plots of the same period in question, based on TS data and DBtina VWAP TS code, one with start time of 0930 and the other with start time of 0000 EST. The DBtina based code generated similar results to your ESPL study.

However, VWAP & SDs were about 1 point lowered with start time calculation at midnight most likely because of substantial volume prior to RTH (regular hrs).