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     dug
Member
Username: dug
Post Number: 2773
Registered: 07-2005
Rating: N/A
Votes: 0
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| | Friday, January 04, 2008 - 10:26 am: |  
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Have done further "Investigation" of VWAP[Volume Weighted Average Price]so here's an Update.
a]Still have not found a Site that provides Historical Total Dollar$ Transacted even over the previous week.
All requests have directed me only to TODAY's Total $.Never can I find the Figure for Yesterday let alone each day for a Week.
b]In various shares I have manually kept a Daily Record and from these have worked out 3/5 day VWAP.
This has proved useful in trading some classes of share.
c]VWAP is a guide/indicator If/When a Share is Running "Hot".That is-
Large Volume actually Traded[not Transfer/Derivative orientated]
Large Single Transactions indicating Short Term Trading Interest by "Professionals" [professionals defined by the sheer Amount of Money they are prepared to Risk]
A "Buzz" happening ie it's being RAMPED.
Recent Examples -CVI,RAU,KAL,FDL,CNM.
Now I reckon these are the types of shares where VWAP comes into Prominence.Real Useful and I urge Any/All Traders in such shares to start keeping $'s Transacted figures Daily and the Volume so as to Use this VWAP figure for calculating a VWAP 3/5 day Moving Average.
Will come back later with some more FREE information on the Why's 'n' Whens.
Happy Trading.
Even 'til Jaded.
Dig for the sake of it.
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sway
Member
Username: sway
Post Number: 109
Registered: 12-2005
Rating: N/A
Votes: 0
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| | Friday, January 04, 2008 - 06:25 pm: |
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Dug
As a starting point, E*Trade Pro gives real time VWAP for all stocks while the market is open and can be browsed at your leisure at end of day. They also have an Excel addin which allows you to capture data but I'm not sure if it can be set up to grab VWAP. Also the course-of-trades display can be set to retrieve historical data but only back a few days I think.
Cheers
Sway
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ohkoolnutz
Member
Username: ohkoolnutz
Post Number: 704
Registered: 10-2005
Rating: N/A
Votes: 0
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| | Saturday, January 05, 2008 - 10:06 am: |
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dug,
I apologise for hijacking your thread but I am very displeased with stock data, the accuracy, the data gathering and the data distribution. You bringing up the VWAP data triggered my gag reflex on this subject.
I work in the field of information management. You could call my a data tyrant. I get Steve Balmer chair throwing antics when data is not 100% right. I can't understand how disorganised stock data management seems to be.
Wouldn't it make sense to have a single entity manage the data?
Wouldn't it make sense that this entity be the exchange the stock is listed on?
If there are multiple clearing channels for a stock wouldn't it make sense to demand that all trades are mandated to be reported to the exchange for data accumulation, warehousing and statistics?
Wouldn't it make sense that the exchange charges a flat fee to all second level data users may they be hedge funds, banks, brokers, or end users?
Wouldn't it make sense to allow those second level data users to resell the data itself or with added services for profit?
It's so simple you can't possibly screw this up.
What seems to be happening instead is that we have hundreds of different trading channels independent from the exchanges. They all do their own measuring and reporting. There seems to be no central authority to gather the data. Some channels don't report to other channels and hence remove trades from the overall sum of activity depending on who you ask. We end up with a handful of data warehouses showing different volumes and OHLC values for the same stocks by various private unmonitored companies. These sell their dirty data to whoever wants it at whatever price they decide to charge. Other companies build charting tools around these and we end up with multiple charting tools displaying contradictory charts.
I am extremely disappointed to pull up American stocks on a daily basis in IC and ProRealTime and the OHLC differ again and again and again. It's so frequent it makes TA a joke.
(Message edited by ohkoolnutz on January 05, 2008)
---
ohk
Lies, Damn Lies and Technical Analysis
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dug
Member
Username: dug
Post Number: 2775
Registered: 07-2005
Rating: N/A
Votes: 0
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| | Sunday, January 06, 2008 - 08:06 pm: |
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Thanks for the Leads,but sway my Agenda is to be told Why d'Hell Incredible Charts doesn't institute VWAP.
I'm up against the Common Wisdom but I think that a lot of IC provided Indicators could be Cutting Edge if they used VWAP and NOT Ancient,Now IRRELEVANT Closing Price Data.
I'm talking Any and All Idicators that Include some form of Moving Average[MACD,RSI,Scholatsic slow/fast,whatever uses a Moving Average]are a FLOP without d'precious VWAP!
EG Your Weinstein would be vastly Improved if ya looked at VWAP rather than Closing Price Simple,Expotential blasted Weighted WHATEVER are IRRELEVANT without VWAP!!
[IMHO,i hang out to be Told WHY it ain't so!]
Now,sway do ya follow?
Closing Price is Revered because that's d'Price ProFessionals SET,according to Legend that is.
and one quite often notes when doing d'VWAP on a Daily that Price DOES Close at VWAP
BUT
It's when it DOES NOT close at VWAP that I,like well,get a Issue.
Anyway,that's d'Plot,Sway.
Do ya wanna be "IN" what Unfolds?
Even 'til Jaded.
Dig for the sake of it.
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dug
Member
Username: dug
Post Number: 2776
Registered: 07-2005
Rating: N/A
Votes: 0
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| | Saturday, January 05, 2008 - 02:58 pm: |
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I tried to set up a seperate thread to cover Dirty Data,okh but it'd be confusing.
Anyhow,
Central One and Only Primary Data Banks-I'm against.
You're last comment re Price Data from IC about US shares-Could it be the Time Delay Factor?or is it even say a day later STILL not accurate?
Personally I'm confused by the Adjustments for Options where you look back to find a price and you find it Closed 20.8 cents,
.8 cents? but THEY are doing the Right Thing?I'm left wondering how come Historical got Ditched!!
In regards to VWAP-I can see the "Un-Economic" reason perhaps WHY IC has not pulled out ALL stops to Implement it[Instead we got Fibbionnacci Levels and Auto Trend Line Gizmos]
It,the Fabulously Useful VWAP tool,won't be much use in Bloody Blue Chips because of the Dirty,nay Filthy Volume Figures Corrupted by Blessed Derivative Transactions.
Personally I fail to see why Colin Twiggs puts his name to the Money Flow Indicator when it often happens that the VWAP is UP on the previous Day yet the Close is Lower thus whacking his indicator into Distribute rather than Price UP=Accumulation.Especially "Witching Thursday" each month is a real plot killer.
I think that the poor quality of Volume Figures including On Market Transfers,Derivative 'diddles' before the Market even Opens[in Blue Chips]is Ridiculous.No wonder the Captain sniggers at Volume Analysis.There is NO Volume ascertainable as Trading that doesn't include bloody Book Keeping!!
Sorry,I rant,perhaps you can sympathise ohkoolnutz?
As a Data Tyrant can you please stop my tirade re VWAP?
Tell me what the problem is with IC simply including the $ Total Transacted in a day.I had some [to me] gobbldygook muttered at me that this was some kind of IT problem to do with Band Width or some such "thing".
We never did get around to getting Volume Cleaned Up and whether there is a reason Why Not?
Let alone dispelling the Myth that Closing Price is still the most "satisfactory" Method of Moving Average Calculation.
Why? well because it's always been that way,everyone does it so it must be Proper?
ohhh,ohk,one must rise above Despair.
cheers.
Even 'til Jaded.
Dig for the sake of it.
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dug
Member
Username: dug
Post Number: 2777
Registered: 07-2005
Rating: N/A
Votes: 0
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| | Saturday, January 05, 2008 - 02:07 pm: |
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no need to apologise,ohk.I'm "flattered" that a Computer Whizz of your calibre would speak to a Luddite such as I,let alone one with such a perceived "Nasty" rep for flouting Rule#1.
I'll open a thread within this one on Dirty Data for a further reply to you,ohk and get back to sway and more on VWAP,later.
Even 'til Jaded.
Dig for the sake of it.
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sway
Member
Username: sway
Post Number: 111
Registered: 12-2005
Rating: N/A
Votes: 0
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| | Monday, January 07, 2008 - 11:17 am: |
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Dug
Yes I understand what VWAP is and agree it could be interesting to compare using it in an indicator instead of closing price, but really only for short term stuff and reversals. My reasoning is that if there is a trend in place, the percentage change of VWAP over say 5 trading days is going to be very similar to that of closing price. Maybe VWAP would be more sensitive for "traders" than "investors" (see Weinstein's definitions in Chapter 1 of his book) in picking exit points.
Anyway, I'm interested to keep discussing and would be glad to hear more arguments for/against
Cheers
Sway
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philr
Member
Username: philr
Post Number: 331
Registered: 04-2004Rating: N/A
Votes: 0
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| | Monday, January 07, 2008 - 04:33 pm: |
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Dug
Would the 'Weighted close' indicator on IC be a reasonable substitute for your VWAP. Would there be much difference? I'd doubt it at 1st glance.
Below is a chart of BHP for the last 6 mths with a 21 day ma
Weighted close is the Green line, 21 day ma the pink line.
The theory according to IC is to go long when Weighted close crosses above the 21 day ma and go short when its below.
However if you are like me and get nervous with shorting just going long you would have done quite well.
Phil
** Let blockheads read what blockheads wrote.
Warren Buffett
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ohkoolnutz
Member
Username: ohkoolnutz
Post Number: 705
Registered: 10-2005
Rating: 
Votes: 2
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| | Monday, January 07, 2008 - 09:07 pm: |
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dug,
I said everything I had to say about dirty data. I understand the problem, I put forth a solution. I am not in charge of the ASX or any other exchange so it will never get implemented.
IC and ProRealTime get their data from two different sources and hence the OHLC differ in many circumstances.
In regards to you...I may not understand everything you say, I may not like everything you say, I do like that you are committed in your views. I take a fiery argument between you and the Captain any day over an apologetic tangle between hilarius and ody. I have to laugh every time I read those two argue: "How dare you use those insulting words shaming me!?! Take it back, please, or I will have to punish you by not speaking to you in the future." Maybe it is the IC censoring filter which makes all fights read like two gay men striking each other with handkerchiefs.
---
ohk
Lies, Damn Lies and Technical Analysis
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sway
Member
Username: sway
Post Number: 112
Registered: 12-2005
Rating: N/A
Votes: 0
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| | Tuesday, January 08, 2008 - 10:00 am: |
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Hey Dug, Where are you? I thought we were getting an interesting thread going?
Cheers
Sway
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dug
Member
Username: dug
Post Number: 2779
Registered: 07-2005
Rating: N/A
Votes: 0
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| | Monday, January 07, 2008 - 01:37 pm: |
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sway,
In this Systems section there's a Thread VWAP is the Word.It's last entry was 7/3/07.At the end of it there is links by Lafee and Ingot 54 to illustrate HOW Vwap is being used by Brokers in the American Market.
I see you're an Engineer,sway so maybe your eyes won't glaze over like mine do,on reading High Level Maths.
Now to me this is PROOF that VWAP is at the centre of current Market Thinking.It's use in Algorithmic Trading[bot/algae/small parcel]is merely the "High Faluting", allowed to be published for general consumption,aspect of it[IMV]
but my only "proof" is anecdotal and also just my own pondering.
Anyway,we know what VWAP is but it's mighty difficult I find to get people to think about AVERAGING it.
I'm finding that,as you point out,that it is extremely Useful when a Share Turns.Turns in a three day[5 maybe]Confirmation Pattern.
One can glean Profit Taking Levels,Retrace Action,one can have an actual Handle on what's Reality when others are whimpering about Insider/Manipulation ie High to Rug Pull on d'Mums'n'Dads.
One gets this "Insight" IF/When Professional Traders are on d'Job!
because? well there is no Purer figure to work with/against than a VWAP.
The ambition for Trade is to buy Below VWAP and Sell Above.Any and All links to how a Broker works confirms absolutely this Fact.
By averaging the Volume to Price over a period one gets a much better mathamatical idea of Accumulation Price.
By using VWAP one avoids being Blind Sided by Close/Open Manipulation.
We all know how Opens and Closes are easily manipulated.We know that it is a Fact that Up and Down Plays occur Intra Day but it's a pretty looooong stretch to propose that VWAP can be so diddled,too.
Anyhow,I'm thinking about the Long Term[Year+]Superiority of VWAP.Get back to ya when it's clearer.
cheers.
Even 'til Jaded.
Dig for the sake of it.
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dug
Member
Username: dug
Post Number: 2781
Registered: 07-2005
Rating: N/A
Votes: 0
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| | Monday, January 07, 2008 - 05:45 pm: |
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You have to know,philr that I'd never seen that IC indicator til you brought it up.
I did a KAL comparison and IC came up with WTC 16.3 for today while the VWAP was 16.4.
Close enough for this Pilgrim!!
So you,philr,may have cracked my Condundrum!!
The week/5 days may be sufficient for my purposes while the Month[21 days]can give some Long Term View.
Weighted Close for these 3 Periods[day/week/month];that's my GO.
cheers.
ps-how do I find How this Weighted Close 'gizmo' is calculated?
Even 'til Jaded.
Dig for the sake of it.
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dug
Member
Username: dug
Post Number: 2782
Registered: 07-2005
Rating: 
Votes: 1
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