Why is intraday vwap not provided in the indicator editor?

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  • 06/30/2022 at 1:25 PM #196468 quote
    xbldevbb
    Participant
    New

    Hi

    I’m trying to use intraday vwap values as part of my backtest strategy, but I can’t seem to find it in the indicators of function list in the programming editor.

    So I searched it here, and the closest one I found is this one:

    VWAP intraday

    I tried to use it, it’s close to what the intraday vwap values provided by PRC, but always a very small difference between this one and the correct value.

    Does anyone have a version that’s completely accurate?

    07/05/2022 at 9:20 AM #196767 quote
    Nicolas
    Keymaster
    Master

    Try this version which is the closest to the current v11 version: https://www.prorealcode.com/topic/vwap-band-indicator/#post-196713

    However, the VWAP calculation made by the platform is using each tick volumes (as an internal function), while it is not possible to do the same with a custom code through ProBuilder. So you might spot from time to time a very small difference, which is IMO not really annoying.

    xbldevbb thanked this post
    07/13/2022 at 1:21 PM #197225 quote
    xbldevbb
    Participant
    New

    Thanks Nicolas, I marked this as resolved.

    The VWAP in the link you pointed to is basically the same as the one I used, with SDs. It still comes with differences that result in missing/wrong trades.

    I find it very strange: why isn’t it just provided as one of the indicators that we can use in the code? I mean if I can add it to the chart then I should be able to use its values to do other things? Being an internal function shouldn’t really stop it from being used in the code.

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Why is intraday vwap not provided in the indicator editor?


Platform Support: Charts, Data & Broker Setup

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xbldevbb @xbldevbb Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by xbldevbb
3 years, 7 months ago.

Topic Details
Forum: Platform Support: Charts, Data & Broker Setup
Language: English
Started: 06/30/2022
Status: Active
Attachments: No files
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