Bigbocarat Posted August 5, 2020 Report Share Posted August 5, 2020 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 Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted August 5, 2020 Report Share Posted August 5, 2020 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. Quote Link to comment Share on other sites More sharing options...
stock777 Posted August 5, 2020 Report Share Posted August 5, 2020 i have not noticed any discrepancies worth worrying about give an example symbol that had a big difference Quote Link to comment Share on other sites More sharing options...
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