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»Forums Index »Archive (2017 and earlier) »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: 2093
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
 

 

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