Moving VWAP with Standard Deviation indicator

zcsoka
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Moving VWAP with Standard Deviation indicator

Post by zcsoka » Mon Jan 13, 2020 8:04 pm

I would like to introduce a new indicator to my package, the Moving Volume Weighted Average Price with Standard Deviations (wow, what a name, let's call it Moving VWAP). The idea behind is, that instead regularly resetting the VWAP to 0, the indicator calculates the VWAP on the last X trades. It does not use time as a lookback, since the intensity of the trading might reflect better the behaviour of the market. 

The indicator looks like below:

MovingVWAP.png
MovingVWAP.png (833.84 KiB) Viewed 10262 times

The settings are similar to the VWAP settings, but instead of the reset interval the "Trade Count for Period" has to be defined. It has to be adjusted according to the instrument, the thick markets will need a higher count, the thin ones smaller ones. This count as mentioned above is the number of trades the calculation will look back to:

MovingVWAP_Settings.png
MovingVWAP_Settings.png (232.07 KiB) Viewed 10262 times

The package containing the indicator is below:

z0li-1.4.jar
(47.46 KiB) Downloaded 502 times

MaxInvest
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Re: Moving VWAP with Standard Deviation indicator

Post by MaxInvest » Thu Jan 23, 2020 9:31 pm

Thank you for sharing it. Great work!.

Geonss
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Re: Moving VWAP with Standard Deviation indicator

Post by Geonss » Thu Feb 06, 2020 12:09 pm

I am wondering how difficult is to modify this indicator to an Anchor VWAP. Thanks by the way for your great work!

zcsoka
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Re: Moving VWAP with Standard Deviation indicator

Post by zcsoka » Mon Feb 17, 2020 6:21 pm

Hi Geonss,

The Anchor if I understood it correctly is bound to a time stamp reset. As you might have realised, in the package there is a normal VWAP with STDV, I think that is what you are looking for. Right now I have only period based reset, but I am working on a timestamp based reset option, which will allow you to "anchor" your VWAP. Please keep in mind, that the indicators cannot use historical data, so your anchor point has to be during Bookmap running time. Would it fulfil your requirement?

 

Geonss
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Re: Moving VWAP with Standard Deviation indicator

Post by Geonss » Mon Feb 17, 2020 6:41 pm

Yes, you understand very well. Timestamp based reset option is exactly what I want. Thank you in advance zcsoka!

zcsoka
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Re: Moving VWAP with Standard Deviation indicator

Post by zcsoka » Tue Feb 18, 2020 5:53 pm

Dear Geonss,

Please check the thread VWAP with Standard Deviation Indicator
I have posted a new package both with periodic and time stamp based resets. That might work as an Anchored VWAP for you.

xiviii
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Re: Moving VWAP with Standard Deviation indicator

Post by xiviii » Thu May 21, 2020 7:33 pm

Does this work with DXFeed? I’m getting an error on mine but not sure if I’ve done something wrong with the setup..!

zcsoka
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Re: Moving VWAP with Standard Deviation indicator

Post by zcsoka » Fri May 22, 2020 8:27 am

Please post the error and if it is possible send me the log file in a private message

AndreyR
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Re: Moving VWAP with Standard Deviation indicator

Post by AndreyR » Fri May 22, 2020 9:15 am

No loaded indicators are ever supposed to work with dxFeed real-time due to license limitations.
So you get either an exception with older Bookmap builds or a not-working indicator with newer builds.
'Not-working' indicator here means that it's unable to get launched, or, once launched, the indicator's lines or widgets won't show.
UPDATE: ... unless they're signed with Bookmap.
Indicators by zcsoka are/will be signed soon.
Sorry for misunderstanding.

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