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Subject: VWAP

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waveslider
Posts:8
05-25-2009 2:48 PM Alert 
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!
murray
Posts:519
05-25-2009 4:51 PM Alert 

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.

 
waveslider
Posts:8
05-25-2009 5:32 PM Alert 
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 > dateΏ] 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
waveslider
Posts:8
05-27-2009 12:21 PM Alert 
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.
waveslider
Posts:8
05-29-2009 4:33 PM Alert 
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.
waveslider
Posts:8
05-30-2009 12:11 PM Alert 
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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