Broker/MT VWAP discrepancies...

[Jason]

I use IB's TWS and use the VWAP indicator they provide with upper and lower VWAP lines but I cannot get the VWAP indicator in MT to produce the same lines. I am using the default settings for the indicator in IB. As far as I can gather the upper and lower VWAP lines in TWS correspond to the VWAP bands indicator in MT but for all my efforts I can't get them to look the same. In TWS the period is 1 day whereas the indicator in MT asks for the "trade sizes". To get them to match as closely as I can (on a 5 minute chart) I used a high number for the standard of deviations in MT. Is there any way this indicator can be fixed or modified for use in MT? Here is a link to how TWS is implementing VWAP: https://www.interactivebrokers.com/en/software/tws/usersguidebook/technicalanalytics/intradayvwap.htm

Also, I will include below screen captures of how they differ in both platforms. It's important to me that they display the same way as these upper and lower VWAP lines often stand as lines of support and resistance and can define price channels. It can affect my trade decisions if these lines appear to be trending up in one platform and down in another or do not display correctly in the first candlesticks of the trading day. The settings I used in MT were St. Deviation Period of 100 with 0 min and max trade size.

Also, I have noticed the option for the center line between the bands in the MT indicator, the VWAP line option, doesn't appear to do anything. The VWAP line is never drawn. In order to show the VWAP proper I have to add the plain VWAP indicator separately.

Thanks!

 

[Mike Medved]

VWAP is a tick indicator - that is, it is calculated from tick data, not from candle data. So, if your chart is backfilled with OHLC data, its VWAP calculation will not exactly match someone else's calculation that uses true tick data. Especially if you specify the minimum trade size (which for OHLC would almost always be satisfied, vs tick data).

[Jerry Medved]

I checked the center line option here and it showed OK. Could you get the beta. If it does not work after that update, then send me the log:
Go to FILE / HELP => Send Log/Settings to support menu (from Dashboard or Portfolio)
And add this Post’s URL in the comment.  Do not check any check-boxes.
 

[Jason]

2 hours ago, Mike Medved said:

VWAP is a tick indicator - that is, it is calculated from tick data, not from candle data. So, if your chart is backfilled with OHLC data, its VWAP calculation will not exactly match someone else's calculation that uses true tick data. Especially if you specify the minimum trade size (which for OHLC would almost always be satisfied, vs tick data).

How is this handled in a chart created from a live data feed? I know I was pulling backfilled data for these charts but would tick data be used in MT a la time and sales information or would it be aggregating it somehow to still produce the above results?

1 hour ago, Jerry Medved said:

I checked the center line option here and it showed OK. Could you get the beta. If it does not work after that update, then send me the log:
Go to FILE / HELP => Send Log/Settings to support menu (from Dashboard or Portfolio)
And add this Post’s URL in the comment.  Do not check any check-boxes.
 

Okay I will look at this when I get a chance.

[Mike Medved]

16 minutes ago, Jason said:

How is this handled in a chart created from a live data feed?

Live data feed is usually tick-data or close to it.

[Jerry Medved]

in the case of IB, it is still aggregated but much closer to live data, so the difference should not be significant. Not like backfill data

[Jason]

7 hours ago, Jerry Medved said:

in the case of IB, it is still aggregated but much closer to live data, so the difference should not be significant. Not like backfill data

But this means then that I have to have the chart for whatever symbol that I'm using the VWAP indicator in up and running from the moment the market opens and throughout the day for it show properly? Let's say I first open the chart for that symbol at 1PM, would the data pulled for the indicator be backfilled from 9:30 to 1 with the tick data used from 1PM to 4PM?

[Jerry Medved]

you don't have to have the chart open. You would however need to have the symbol getting quotes, so could be in the portfolio window.

If you start getting RT data for it at 1, the backfill data from IB for prior to 1 would be OHLC. The more tick data you have, the more accurate it will be. There are a few sources that have tick backfill, but IB isn't one of them. Ally Invest (for MBT), IQFeed, Teletrader and Barchart subscriptions, Rithmic.

[Jason]

On 8/22/2018 at 8:11 PM, Jerry Medved said:

I checked the center line option here and it showed OK. Could you get the beta. If it does not work after that update, then send me the log:
Go to FILE / HELP => Send Log/Settings to support menu (from Dashboard or Portfolio)
And add this Post’s URL in the comment.  Do not check any check-boxes.
 

Okay, after upgrading to the beta it's working now. Thanks!