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jrojas has contributed to 29 posts out of 18446 total posts (0.16%) in 1,258 days (0.02 posts per day).

20 Most recent posts:
Data and Content Support » QUOTE message VWAP data field invalid Nov 7, 2017 08:40 AM (Total replies: 55)

Hi Tim,

I upgraded to 5.2.7.0. Everything looks fine.

Thanks,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Nov 1, 2017 08:40 AM (Total replies: 55)

Hi Tim,

I tried the beta version today. I subscribed successfully to all the quotes before the market open and now all the vwap values seem to be in line with what I would expect.

I guess the fix seems to have resolved the issue. It looks fine now.

Thanks for your help.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 30, 2017 11:12 AM (Total replies: 55)

Hi Tim,

Thank you for your answers. Sorry, I didn't get any direct email from you. Please could you check and resend it?

Thanks,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 29, 2017 09:56 AM (Total replies: 55)

Great Tim.

Where did you send the fix to? I will give it a go. Were you able to reproduce/find the issue?

After this fix, I have just a couple of questions about the actual VWAP calculation I would appreciate if you could answer for me.

1) Are you using any time interval to throttle the VWAP calculation or is the calculation in real time using the tick data as it happens?

2) Which price and volume fields are you actually using for the calculation? Are you doing any filtering on this?

Thanks,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 26, 2017 10:04 AM (Total replies: 55)

Hi Tim,

Just subscribe to all of those symbol before 9:30 and see it happening once all the prices start streaming in.

If the vwap is correct from the start, it seems to keep going fine aftwerwards.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 26, 2017 08:47 AM (Total replies: 55)

Hi Tim,

The symbols are just random ocurrences. Every day is a different symbol. It really has to do with the timing of the subscription. We should be able to subscribe at any time as before and be able to retrieve the correct vwap values. Until then we are just chasing our own tails.

Thanks for your help.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 25, 2017 03:30 PM (Total replies: 55)

Hi Tim,

Thank you for having a look at this again.

Right now, the biggest problem I see with this, is the need to subscribe to the quotes only after the symbol opens for trading. Anytime before that and the VWAP values are completly out of whack, at least for a very long time after the open. I guess the vwap calc will catch up eventually.

The problem with this logic is that it is not practical to wait after the open to subscribe. It does not make any sense. Think about it. For all the symbols I have positions pre market and any symbols I trade around the open, all of which I need prices for, the VWAP calculations will be wrong just when I need them.

For the rest of the symbols I just need to guess the best time to subscribe in order to get a VWAP number that makes sense. I have really no idea if the number is right or not. I have in the past compared it to Reuters and Bloomberg numbers, and sometimes they are close, but most of the time they are not.

At least, before we can look at the actual numbers, we should be able to solve the subscription time dependency issue.

Hope it helps,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 23, 2017 09:39 AM (Total replies: 55)

Tim for example, today UNIT, JBHT, MELI are way off 1h and 20 minutes after the open!

Data and Content Support » QUOTE message VWAP data field invalid Oct 23, 2017 09:36 AM (Total replies: 55)

Hi Tim,

The VWAP calculation is still off as previously discussed. The only difference is that now if I subscribe 5/10 minutes after the open, most of the VWAP values appear to be correct. However, there are still a few symbols way off.

Not ideal by any stretch, however.

Before all this got badly broken, we used to be able to fire on the subscriptions pre market and everything would be fine as the trading day progressed.

After that, at one point, the calculation was broken for everything.

After you got involved, the calculation is off for only some of them. I am not sure I can trust any it, though.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 23, 2017 09:14 AM (Total replies: 55)

Yes, indeed. This was never fixed as intended.

The only way to get some approximate working VWAP values for some symbols is to initiate the subscription only AFTER the market opens at 09:30. If you do this for say 500 symbols, most of them would be ok. However, you would still get some stale numbers for some of them.

A big mess if you asked me.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Nov 1, 2016 08:30 AM (Total replies: 55)

Hi Tim,

Thanks for letting me know. Do I need to upgrade my API version?

Jose

Data and Content Support » QUOTE message VWAP data field invalid Oct 10, 2016 08:07 AM (Total replies: 55)

Hi Tim,

Any update on this? Do I need to install any new version?

Thanks,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Sep 22, 2016 08:49 AM (Total replies: 55)

Great thanks. Looking forward.

Regards,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Sep 19, 2016 09:25 AM (Total replies: 55)

Hi Tim,

Good to hear. Thanks for the update. Please keep me posted. I am waiting for this fix.

Regards,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Sep 2, 2016 08:43 AM (Total replies: 55)

You mean a complete restart after the OPEN ??? That would be a no go for me.

Thanks,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Sep 2, 2016 08:40 AM (Total replies: 55)

Please have a look at the following snapshot.

Data and Content Support » QUOTE message VWAP data field invalid Sep 2, 2016 08:36 AM (Total replies: 55)

Hi Tim,

Could we get some time to look at this problem.

Current view:

Symbol % VWAP Open Last VWAP
NUAN 6563.64% 14.64 14.66 0.22
TROW 2125.40% 69.02 69.21 3.11
PDCE 3315.74% 67.63 67.29 1.97
QVCA 2261.54% 21.53 21.49 0.91
MYGN 2003.06% 20.55 20.61 0.98
XLNX 1692.08% 54.41 54.3 3.03
WETF 1367.61% 10.35 10.42 0.71
CTXS 1083.94% 87.75 87.73 7.41
GRMN 999.11% 49.23 49.35 4.49
CA 1026.73% 34.11 34.14 3.03
CAR 1013.72% 36.37 36.53 3.28
AKAM 919.93% 55.4 55.28 5.42
HDS 738.30% 36.47 36.55 4.36
XRAY 867.50% 62.98 61.92 6.4
DNKN 652.07% 48.85 48.96 6.51
ARRS 550.46% 28.46 28.36 4.36
ETFC 542.30% 26.17 26.27 4.09
COMM 594.88% 29.82 29.88 4.3
FIVE 575.77% 44.17 44.06 6.52
DISCA 532.68% 25.74 25.94 4.1
AMTD 470.93% 32.5 32.6 5.71
CAVM 529.16% 56.9 56.75 9.02
SABR 503.79% 28.49 28.68 4.75
KHC 478.29% 89.9 89.75 15.52
ADI 451.35% 63.29 63.13 11.45
ADSK 453.83% 67.93 67.9 12.26
ROST 438.75% 62.55 62.71 11.64
CSAL 402.88% 31.48 31.48 6.26
HPT 375.04% 30.08 30.26 6.37
ISIL 360.68% 20.2 20.27 4.4
LRCX 354.17% 95.24 94.65 20.84
CHFC 366.39% 44.94 44.96 9.64
STLD 363.54% 25.01 25.17 5.43
CREE 283.41% 24.24 24.5 6.39
MCHP 355.61% 62.74 62.92 13.81
VIAB 354.46% 40.01 40.22 8.85
HOLX 351.46% 38.66 38.6 8.55
TXN 286.68% 70.02 69.95 18.09


I can also send you the "good" ones if you need to.

Very frustrating this problem. Please, could you confirm that you guys are committed to providing this calculation on the server side from the open?

Thanks,

Jose

Data and Content Support » QUOTE message VWAP data field invalid Aug 31, 2016 10:25 AM (Total replies: 55)

Hi,

No, see the response above. I am using only 5.2.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Aug 31, 2016 09:17 AM (Total replies: 55)

Sure, I can do that.

But you are telling me that around the open for more than 2 hours you cannot see any of those wrong values I am showing you, even though I can see exactly the same vwap numbers in the snap quote window via the IQ client ?

What values do you see then and how do you source them?

Note, that this only started happening after the recent API upgrade.

Let's discuss.

Jose

Data and Content Support » QUOTE message VWAP data field invalid Aug 31, 2016 08:42 AM (Total replies: 55)

Hi Tim,

Any update on this issue?

Thanks for your help.

Jose


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