VWAP/ATP Values for creating Price Charts..

tradingstudent

Well-Known Member
#1
Hello,

Could someone please point me to an afl or a code that uses VWAP/ATP to values to plot the candles for the price chart instead of the regular price points.

My understanding is since ATP/VWAP is just like a price, it will have O H L and C and can be plotted like a regular canlde.

is my understanding correct?

There are AFL that gives VWAP/ATP, but i did not find any AFL that could use VWAP/ATP values for plotting the price charts.

Thanks in Advance..
 

boarders

Well-Known Member
#2
1. you are correct. vwap and atp values can be plotted with ohlc.
2. the most accurate vwap and atp values are the ones displayed in the trading platform like NEST and not the ones calculated by AFLs.
3. therefore wrt point 2 above you need to extract these values from trading platform, give it a unique name and plot it in charting software like amibroker.
4. for doing point 3 above you may link to excel and import it into amibroker using DDE link and giving it a unique name like CRUDEOILATP etc or you can use tracer bullet utility after appropriate modifications.
5. please also note that vwap and atp as also TBQ and TSQ can only show you the overall trend of the day or overall trend change when it happens as it lags drastically.
 

tradingstudent

Well-Known Member
#3
1. you are correct. vwap and atp values can be plotted with ohlc.
2. the most accurate vwap and atp values are the ones displayed in the trading platform like NEST and not the ones calculated by AFLs.
3. therefore wrt point 2 above you need to extract these values from trading platform, give it a unique name and plot it in charting software like amibroker.
4. for doing point 3 above you may link to excel and import it into amibroker using DDE link and giving it a unique name like CRUDEOILATP etc or you can use tracer bullet utility after appropriate modifications.
5. please also note that vwap and atp as also TBQ and TSQ can only show you the overall trend of the day or overall trend change when it happens as it lags drastically.
Thanks Boarders for the info..

Is there any work around instead of pulling Values from the broking platform and feeding it to Ami broker as i am currently using a data vendor and don't want to disturb the set up.

For the time being, i want to overlook the fact that ATP/VWAP in AFL are less accurate than the ATP/VWAP we get in the terminal. So how would one go about using the ATP values from AFL to plot the charts?

Thanks in Advance Man
 
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boarders

Well-Known Member
#4
for calculating ATP values you need to get price traded with volume traded at each individual price traded as tick data and then derive ATP from that price using afl. I do not think any data vendor is providing this information.

for vwap afl pls you can get it from wisestocktrader
 

tradingstudent

Well-Known Member
#6
for calculating ATP values you need to get price traded with volume traded at each individual price traded as tick data and then derive ATP from that price using afl. I do not think any data vendor is providing this information.

for vwap afl pls you can get it from wisestocktrader
Thanks Boarders.

I should have explained better.

Yes there are AFL's available in websites that plots the vwap on charts.

Using the vwap values generated by these AFL, can we plot the values as candle stick charts?

Thanks Man..
 

boarders

Well-Known Member
#7
Thanks Boarders.

I should have explained better.

Yes there are AFL's available in websites that plots the vwap on charts.

Using the vwap values generated by these AFL, can we plot the values as candle stick charts?

Thanks Man..
yes you can. for example in amibroker, following code: (pls replace the word vwap with equivalent of same given in afl for plotting the line.

Plot( vwap, "vwap", coloryellow, stylecandle);
 

boarders

Well-Known Member
#8
@boarders
ATP in Nest terminal is similar/identical to VWAP or is there any difference ?

thanks
ATP is always different from vwap. ATP is average traded price during a single days trading session and lags more than vwap but it is a good indicator to know the starting trend of the day. but whenever a trend change occurs during intraday, ATP will show that change with serious lag.
while VWAP is volume weighted average price and a continuous chart from day to day.. and is of not much use as far as I am concerned and whipsaws...under any circumstance I use ATP candles to know the starting trend of the day and then use price action to enter trade in that direction only during morning session afterwards I refer to atp charts at times but dont give much importance to same and trade only price action.
for trading you must follow only price action...price action contains all there is know without much lag....this is only my opinion and style of trading...others may have different views regarding same.
 

tradingstudent

Well-Known Member
#9
Thanks a lot Boarders,

It worked...

Although the plotted candle sticks using ATP values looks a like a mirror image of the actual price candle sticks with minor differences, not sure why though,:D
 

extremist

Well-Known Member
#10
The Correct possible way with the constraints u have mentioned is the following way.

Code:
function ATP(a)
{
nd=Day() != Ref(Day(), -1);

Bars = 1 + BarsSince( nd );
TodayVolume = Sum(V,Bars);
StartBar = ValueWhen(TimeNum() == 091500, BarIndex());

at=IIf (BarIndex() >= StartBar,(Sum (a * V, Bars ) /TodayVolume),0);
return at;
}
ATPo = ATP(o);
ATPh = ATP(h);
ATPl = ATP(l);
ATPc = ATP(c);
col = IIf(ATPo<ATPc,colorDarkGreen,colorTan);

PlotOHLC(ATPo,ATPh,ATPl,ATPc,"ATP candles",col,styleCandle);
I hope this will serve your purpose.
 
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