FYI: VWAPs different by platform

[clabough]

I just did some research on VWAP and even though many people work off VWAP, it is very different between platforms. Right now for PALT, IB has it at 11.91, Webull is 12.18, Fidelity is 11.87, NinjaTrader is 11.76, Medved Trader is 12.10. Three are close to each other, and another two are close to themselves. I think it is when the calculation starts, but just using defaults, traders are going off different VWAPs.

[NinjaTrader_Zachary]

Hello clabough,

Thank you for your post.

Just so I can be certain that we are being as attentive to your request as possible, were you just posting this as general information for the forum community or did you have a question related to the Order Flow VWAP?

I look forward to your reply.

[clabough]

More just general information, but if you've compared VWAP values across platforms and know why they're different, I'm sure everyone would like to know.

[Lyubomir Kratinov]

More just general information, but if you've compared VWAP values across platforms and know why they're different, I'm sure everyone would like to know.

VWAR is price*volume/volume - means it's like MA but volume weighted price. Well 2 parameters could be different : 1. PRICE: which one 1.Close ; 2. Open ; 3. High; 4.Low ; 5 Mean; 6. Typical; 7 Weighted Close. ! Depends witch price you use ( or is set by default ) - you will get different reading. 2. VOLUME - not all platform ( data feeds ) support REAL market volume. Most of using Tick Volume witch can vary a lot depends on your broker. Best solution is to have paid data feed and use Real Market Volume. CFD contracts does not have real volume . Forex does not have real volume and so on..... I hope this answer your question. I personally like to use Weighted Close Price = H+L+C+C/4.