Jump to content
Medved Trader Forums

VWAP MT vs AMTD TOS


Bigbocarat

Recommended Posts

Been noticing the VWAP line on a AMTD TOS chart is quite a bit different than the VWAP line on the same chart in MT. I understand that MT is using OHLC data for calculating this as otherwise selecting "Streaming Tick Quotes" is a big system hog. Also notice if I turn off the pre market display on the chart VWAP gets a little closer but still like .5 % difference. Is this as close as can be expected and can the VWAP calculation be set to not include the pre market data if thats causing this discrepancy?

 

Thanks,

Rob 

Link to comment
Share on other sites

Definitely the pre-market display should be the same on charts you compare the VWAP value for.

And yes, the VWAP is calculated on ticks, so if you use backfilled info to do it, instead of the actual ticks that it doesn't have it calculates it on 4 pseudo-ticks per candle - the O H L C values - with the candle volume evenly distributed among them.

The VWAP calculation is simplicity itself, but the above considerations may have it not match other sources.

 

Link to comment
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

×
×
  • Create New...