VWAP Vs Pivot Points

[BlowFish 10]

Thx for clarification , I would than recommend to feed the created CVD to NT UDS - user defined symbol and create a data series which is the actual underline contract CVD, this newly created series can be displayed by using all kind of bars supported by NT.

Use price series synced to this Series. Little long but achievable.

Hope it helps.

 

And there is the issue, NT does not support a constant delta type bar. (I should say I have not used it for years so this may not still be the case, it would not surprise me as NT is remarkably flexible and open).

[Karish 10]

And there is the issue, NT does not support a constant delta type bar. (I should say I have not used it for years so this may not still be the case, it would not surprise me as NT is remarkably flexible and open).

 

This explains it, current NT version has volume, momentum and others. In addition they have a kind of API which can be used to build what ever you like superposition bar.

[Karish 10]

Now somebody like Blowfish, who is a heck of a lot better at programming than me, should build a VWAP of the days Cumulative Delta Volume and Price averaged together......that one I will gladly back-test!!!

Just read now why the discussion about NT started.:helloooo:

Interesting Idea FT, I plan to test two VWAPs analysis for Bid /Ask and to see if the relation between both VWAPs has value.

Regarding your idea, If you have Neoticker I can program it, just need more detail on the idea

[tapereader 10]

The question you really need to ask if you're a day trader is not whether either of these is better but are there more algorithms using one versus the other.

 

Since the market is simply an auction trying to locate the best value and location where the most people will trade...

 

And since 80% of the trading activity (especially market making) in small time frames intraday are governed by algorithms...

 

How are they determining this value? Bouncing off passive order flow when it's found? Volume?

 

Here's a tip: Load up the daily VWAP and then plot bands at .5 standard deviations from .5 to 3

 

What do you see? Except for the distortions made by sudden information or random large orders, you will see just how important VWAP is - IF you're a day trader scalping small time frames.