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etolson has contributed to 3 posts out of 21185 total posts (0.01%) in 3,474 days (0.00 posts per day).

20 Most recent posts:
Data and Content Support » SPY VWAP using Excel via IQLink DDE Oct 22, 2014 02:11 PM (Total replies: 6)

Ok, thanks. I assume no users are really using your VWAP field then, as in my opinion this renders it totally useless. Even if only 1% of trades were "other trades", then your VWAP would always be 1% off.

Data and Content Support » SPY VWAP using Excel via IQLink DDE Oct 21, 2014 07:29 PM (Total replies: 6)

Yes, I'm seeing little vwap problems here and there. I'm looking at period vwap, and that seems to really highlight the issue. For instance, I'm looking at CWEI today. At 10:30:00, the day's VWAP was 71.9932 and the day's volume was 56,309. At 11:00:00, the day's VWAP was 72.0696 and the day's volume was 62,086. So the period volume from 10:30 to 11:00 was 62,086 - 56,309 = 5,777. If you back out what this implies for the period VWAP from 10:30 to 11:00 you get 72.814 because (71.9932*56,309 + 72.814 * 5,777) / 62,086 = 72.0696. But there's now way the period VWAP from 10:30 to 11:00 was 72.814 because not a single trade done in that period was below 73.

Data and Content Support » SPY VWAP using Excel via IQLink DDE Oct 21, 2014 02:50 PM (Total replies: 6)

Hello, was this issue ever addressed or is this still a known issue for VWAP?
thx


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