Order Flow VWAP not calculating properly between timeframes

[stafe]

i'm using the NT OF VWAP set to RTH ES sessions on a 15 minute chart and i noticed today that it's not calculating the same value as other charts so i investigated a little bit deeper...
i'll use the 11am mountain time candle for all these numbers

60min 3852.75
45min 3851.25 - 11:15candle
30min 3851.75
20min 3853.25 - 11:10candle (11:50 candle is 3853.50)
15min 3851.25
10min 3852.50 - (11:10candle is also 3852.5)
5min 3852.75 - (11:10candle is also 3852.5 and the 11:15candle is also 3852.50)
2 and 1min both 3852.50

those are some pretty crazy numbers from a calculation that should come up with 1 number at any given moment on any chart in any time frame given that the indicator is set to RTH on all the charts...
NinjaTraderBrokerage Continuum feed...

[NinjaTrader_Manfred]

Hello stafe,

The Order Flow VWAP has three different, internal calculation modes, that modify how much performance the indicator uses and how accurate its calculations are.

Based on your description, it looks like your VWAP might be running on the 15-minute chart directly, which would run with the highest performance but would not result in high accuracy (calculation mode #2 in the list below)

To give you a better understanding of how these modes differ, I've listed all three below:



Calculation Mode #1:

• Historical: VWAP is weighted per bar and built from Typical of the bar: (High + Low + Close) / 3
• Realtime: VWAP is weighted per bar and built from Close

This is sort of a hybrid of Calculation Modes #2 and #3 except that it continues to weigh the historical bars the same when it transitions from historical data to realtime.

This is the median accurate VWAP Calculation Mode and applies in the following scenarios:

• Calculate.OnEachTick/Calculate.OnPriceChange with VWAPResolution.Standard and without Tick Replay

Calculation Mode #2:

• VWAP is weighted per bar and calculated using the Typical of the bar: (High + Low + Close) / 3

This is the least accurate VWAP Calculate mode and applies in the following scenarios:

• Calculate.OnBarClose with VWAPResolution.Standard

Calculation Mode #3:

• VWAP is weighted per tick/price change and calculated using the Close

This is the most accurate VWAP Calculation mode and applies in the following scenarios:

• Calculate.OnEachTick/Calculate.OnPriceChange with Tick Replay OR Any Calculate Mode with VWAPResolution.Tick

Note: If VWAPResolution.Tick is used, OrderFlowVWAP will add a 1 tick series automatically.



To resolve this, I would suggest enabling the VWAP Calculation mode #3, either by using Tick Replay or setting it to calculation on a Tick-based resolution.

Please don't hesitate to let me know, should you have any questions in this regard!

[stafe]

thanks for the clarification on this