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» SPY VWAP using Excel via IQLink DDE
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| Author | Topic: SPY VWAP using Excel via IQLink DDE (7 messages, Page 1 of 1) |
 Ryan -Interested User- Posts: 14 Joined: May 17, 2012 |
Posted: Jun 11, 2013 12:37 PM
Msg. 1 of 7
Hello,
As of 1:22 PM ET, using formula "=IQLink|SPY!VWAP" I receive a reading of ~162.84. This appears to be off. I download tick data and manually calculated VWAP and it comes out closer 163.62. I manually calculated using all trades made on 6/11/2013. Am I missing something? I haven't been using this function, but it appeared to be unrealistically low yesterday as well. Just glancing at some other securities, they appear to be fine. Ryan |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Jun 11, 2013 02:24 PM
Msg. 2 of 7
Ryan, upon investigation, we are currently not accounting for Other trade price in the calculation of VWAP but the volume is still being weighted. As a result, symbols with a significant portion of their total daily volume accounted for by Other trades will be off.
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etolson -Interested User- Posts: 3 Joined: Oct 21, 2014 |
Posted: Oct 21, 2014 02:50 PM
Msg. 3 of 7
Hello, was this issue ever addressed or is this still a known issue for VWAP?
thx |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Oct 21, 2014 04:26 PM
Msg. 4 of 7
Hello,
I don't recall this being addressed, so I do not believe the behavior has changed, but in a loose test of GOOG and SPY for today, the data doesn't look off, but that could be luck. Are you seeing something that looks out of sorts for today that I can look at for an example? Tim |
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etolson -Interested User- Posts: 3 Joined: Oct 21, 2014 |
Posted: Oct 21, 2014 07:29 PM
Msg. 5 of 7
Yes, I'm seeing little vwap problems here and there. I'm looking at period vwap, and that seems to really highlight the issue. For instance, I'm looking at CWEI today. At 10:30:00, the day's VWAP was 71.9932 and the day's volume was 56,309. At 11:00:00, the day's VWAP was 72.0696 and the day's volume was 62,086. So the period volume from 10:30 to 11:00 was 62,086 - 56,309 = 5,777. If you back out what this implies for the period VWAP from 10:30 to 11:00 you get 72.814 because (71.9932*56,309 + 72.814 * 5,777) / 62,086 = 72.0696. But there's now way the period VWAP from 10:30 to 11:00 was 72.814 because not a single trade done in that period was below 73.
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Oct 22, 2014 02:08 PM
Msg. 6 of 7
Etolson,
Ok, thanks for the example, as mentioned above it does not appear that this has been addressed as of this time, but we will revisit this request and see what we can do. Tim |
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etolson -Interested User- Posts: 3 Joined: Oct 21, 2014 |
Posted: Oct 22, 2014 02:11 PM
Msg. 7 of 7
Ok, thanks. I assume no users are really using your VWAP field then, as in my opinion this renders it totally useless. Even if only 1% of trades were "other trades", then your VWAP would always be 1% off.
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