Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"This is an excellent value, the system is generous (allowing for 500 stocks) and stable (and really is tick-by-tick), and the support is fantastic." - Comment from Shirin via Email
"I "bracket trade" all major news releases and I have not found one lag or glitch with DTN.IQ feed. I am very comfortable with their feed under all typical news conditions (Fed releases, employment numbers, etc)." - Comment from Public Forum
"I just wanted to let you know how fast and easy I found it to integrate IQFeed into our existing Java code using your JNI client. In my experience, such things almost never go so smoothly - great job!" - Comment from Nate
"Everything is working great ! Very impressive client. The news refreshes better and is more pertinent than the ******* feed I paid $ 100/month for. I Also like the charts a lot." - Comment from Leon
"Just a quick one to say I'm very impressed so far :) The documentation for developers is excellent and I've quickly managed to get an app written to do historical downloads. The system is very robust and pretty quick considering the extent of data that's available. The support guys have been very helpful too, in combination with the forums it's been plain sailing so far!" - Comment from Adam
"You have an excellent product !!!!!!" - Comment from Arely
"My broker in Davenport suggested I give you a try as he uses your service and says its the best." - Comment from Bill via RT Chat
"If you want customer service that answers the phone, your best bet is IQFeed. I cannot stop praising them or their technical support. They are always there for you, and they are quick. I have used ****** too but the best value is IQFeed." - Comment from Public Forum
"I ran your IQFeed DDE vs. my broker vs. a level II window for some slow-moving options. I would see the level II quote change, then your feed update instantaneously. My broker's DDE, however, would take as much as 30 seconds to update. I am not chasing milliseconds, but half a minute is unacceptable." - Comment from Rob
"The service is great, I see a noticeable improvement in my volume profiles over [broker]'s data feed" - Comment from Larry
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »VWAP in pre-open
Author Topic: VWAP in pre-open (3 messages, Page 1 of 1)

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Dec 13, 2017 09:58 AM          Msg. 1 of 3
Is there any documentation on how you calculate VWAP during pre-open for Dow, NDX and SPX equities? Especially for thinly traded instruments?

I'm using ver 5.2.7.0 so I think I don't have the issue outlined in another thread.

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Dec 14, 2017 10:20 AM          Msg. 2 of 3
Follow up: From testing it looks like VWAP published during the pre-open is stale. Probably last available from prior day's regular trading session. Can anyone confirm that? Or am I requesting the wrong field on the SELECT UPDATE FIELDS command?

DTN_Steve_S
-DTN Guru-
Posts: 2040
Joined: Nov 21, 2005


Posted: Dec 15, 2017 06:24 AM          Msg. 3 of 3
Sorry for the delay in response here.

We calculate VWAP the same for all symbols that have it available.

The VWAP value takes into account all trades (and all trade volumes) for the current day (resets on the first trade of the day)

A good example currently is the symbol GOOG which as of this post, only has 13 trades thus far today.

Price	Size	Type
1051.51 100 E
1051.3 99 O
1051.3 1 O
1051.3 100 E
1051.14 4 O
1051.23 74 O
1051.23 7 O
1051.23 16 O
1051.23 100 E
1050.89 3 O
1050.89 1 O
1041.16 4 O
1048.5 1 O


The current VWAP value is 1051.22
 

 

Time: Sat October 20, 2018 2:38 PM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003