Using OrderFlowVWAP in Strategy

[NinjaTrader_PaulH]

Hi,

The below post sums up my issue perfectly, and looks like there is an issue with this API when getting used in a strategy. onBarUpdate vs OnEachTick.

Is there an ETA for the resolution?

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1167190-orderflowvwap-in-a-strategy-does-not-match-orderflowvwap-on-chart

I will look into what you have referenced.

In the meantime, what Calculate setting are you using in the strategy?

Regarding, "Thank you will check again and post the results. Will have to wait until Tomm." Do you have results to share?

[NinjaTrader_PaulH]

Hello GauthamK,

I've had a chance to review the referenced thread and the QA review.

In the case of the thread the issue was caused by using if (State != State.RealTime) return; By removing this line the results were as expected.

Are you using such a code line?

What Calculate setting are you using for the strategy?

[GauthamK]

No I dont have that line.

My strategy runs on EACHTICK, but am using standard VWAP (not tick) calculation.

[NinjaTrader_PaulH]

Hello GauthamK,

Thanks for your reply.

With Standard resolution and using Calculate.OnEachTick, during historical data the bar is calculated using the "Typical" price type as the input, it is only when the strategy reaches real-time that the Close price is used. So in this case you could expect to see differences.

The recommendations are, use Tick Replay and you will need tick historical data to support that for the duration of your chart.