VWAP glitch

[vrtrader64]

I am seeing strange VWAP values on occasion.

 

Example:

 

 

Note the volume on the bar in question is a large negative number. Perhaps this affects the calculation?

[Jerry Medved]

that was addressed yesterday. will be in the next release.  Yes, the volume is the issue. Made the indicator ignore that situation. 

[vrtrader64]

Here is another VWAP glitch, probably due to the inclusion of odd-lot trades in the calculation.

 

 

MT ought to be able to exclude trades where volume<N from inclusion in charts and indicators, where N is specified by the user, with a default of 100. 

[Jerry Medved]

the VWAP has an option for minimum trade size. If you wish to make that the default, you can do that, same as for any other indicator.  

 

The current version however, had a bug where it ignored that setting if that tick was the only one for the candle. The next update will fix that.

[vrtrader64]

the VWAP has an option for minimum trade size. If you wish to make that the default, you can do that, same as for any other indicator.  

 

 

Great, thank you ! I had not noticed that.

 

Please also make that "minimum trade size" filter available for time-based, tick-based, and range-based charts.

 

A primer for why it is important to filter out odd lots from stock charts:  

 

Odd-lot trades are inherently one-sided. They are always filled by marketmakers, and retail traders may only get the unfavourable side (i.e. buy at the ask, sell to the bid). These prints are non-representative of where the true market is.

 

E.g., bid-ask 10.08-10.29 (primary exchange); 10.02-10.25 (ATS) -> NBBO: 10.02-10.25. An odd-lot retail buy would print at 10.29 (outside NBBO). Yes, there is a sell side to the buy, however, only marketmakers get to sell at the ask automatically and buy at the bid automatically.

 

Also, often the bid-ask spread fluctuates widely. So odd-lot fills may occur at prices way out of line with those for normal-sized orders. This is mostly true in thinly-traded stocks with wide spreads, but can happen in any stock and creates extreme candles on intraday charts that distort the view of trading activity.

 

Sample chart, shows GLD with odd-lot prints making long candles and sawtooth patterns in range chart, with price relatively stable.

 

 

So, please include the ability to filter these out.

 

Thanks !