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VWAP
Last Post 05-30-2009 12:11 PM by Sam Beckers. 5 Replies.
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Sam Beckers
New Member
New Member
Posts:8

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05-25-2009 02:48 PM
    What can I use for historical VWAP levels?
    The indicator I use for tradestation has reserved words "upticks" and "downticks" that TS doesn't seem to recognize.


    thanks!
    mur ang
    Advanced Member
    Advanced Member
    Posts:525

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    05-25-2009 04:51 PM

    We don't support indicators , only systems and functions.

    Also we don't support all the intra-day keywords since we are a offline product.

     

    Sam Beckers
    New Member
    New Member
    Posts:8

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    05-25-2009 05:32 PM
    Sorry, I was unclear. Thanks for the response though Murray.

    This is a function, probably one of the most used functions in system development. It can be calculated at an end of day, not only intraday.

    It is very simple, as attached here:
    [b]
    vars:
    PriceW(0),
    ShareW(0),
    Answer(0);

    if date > date[1] then begin
    PriceW = 0;
    ShareW = 0;
    end;

    If bartype < 2 then begin
    PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
    ShareW = ShareW + (UpTicks+DownTicks);
    end else begin
    PriceW = PriceW + (AvgPrice * (volume));
    ShareW = ShareW + (volume);
    end;

    if ShareW > 0 then
    Answer = PriceW / ShareW;

    VWAP_H = Answer;
    [/b]

    Are you saying there is no way to calculate Volume Weighted Average Price with Tradersstudio? That would effectively eliminate most of the work I have done in system development.

    Thanks,

    Sam
    Sam Beckers
    New Member
    New Member
    Posts:8

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    05-27-2009 12:21 PM
    Ok so I found the "Midas" indicator in the free files, this has some type of adapted VWAP. Is there a normal vwap somewhere in this code also? Please help, this is holding me at a standstill.
    thanks in advance.
    Sam Beckers
    New Member
    New Member
    Posts:8

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    05-29-2009 04:33 PM
    I have to be a squeaky wheel here - - I have bought an expensive piece of software that is currently useless to me without volume weighted average price.

    Murray - you mentioned that the software does not support intraday keywords, but the ones I mentioned - upticks and downticks - are end of day data points as well as intraday.

    Please respond.
    Sam Beckers
    New Member
    New Member
    Posts:8

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    05-30-2009 12:11 PM
    hacking away at this by myself I have found that on the daily bars vwap is the weighted average price and doesn't use upticks and downticks. Now, to just sort through all the "error in translating code" messages and failures to recognize functions. Seems like there are LOTS of tricks to learn (ie. translator doesn't recognize "sell short"!)
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