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» VWAP on Streaming interval bars
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| Author | Topic: VWAP on Streaming interval bars (4 messages, Page 1 of 1) |
 Rich_B -Interested User- Posts: 8 Joined: Feb 8, 2015 |
Posted: Nov 4, 2015 11:28 AM
Msg. 1 of 4
Has there been any consideration in putting VWAP on streaming interval bars?
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Nov 4, 2015 11:30 AM
Msg. 2 of 4
Hi Rich,
Nothing to date that I personally recall, but I will certainly pass the request along for consideration. Tim |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Nov 4, 2015 11:33 AM
Msg. 3 of 4
Rich,
This hasn't been something we have looked at nor has it been requested in the past. When you say you are looking for VWAP on interval bars, would you be looking for the current VWAP value at the end of the interval, a OHLC VWAP value, a VWAP of only that interval itself, or?? Thanks for the question and input. Jay Froscheiser Vice President, Active Trader Products |
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Rich_B -Interested User- Posts: 8 Joined: Feb 8, 2015 |
Posted: Nov 4, 2015 11:49 AM
Msg. 4 of 4
You raise different possibilities I didn't think of, but I was more thinking of today's VWAP thus far in the day. The same exact one I would get from the Level 1 quotes but instead of taking on the bandwidth and CPU load just get the momentary VWAP for whenever the interval bar closes. They're actually quiet a few great features that are only in the L1 quotes that I wish would make their way over to the Streaming interval. If I know that I am only going to make a decision every X # of minutes why do I need a tick by tick account of VWAP, change since open, Volatility, etc etc etc. I'm sure I'm not the only one who feels this way
Edited by Rich_B on Nov 4, 2015 at 12:00 PM |
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