Hi Everyone! Looking for a help anywhere, try my luck over here also. While working a bit with TWS Intraday VWAP Standard deviation bands, I was looking for the formula anywhere in order to implement it via their API. All the relevant formulas and calculations from various sources shows completely different data and it seems that TWS is going something complete different. (with the value of 8 for example) So the help is needed to understand what is the difference and how to get TWS formula. Thanks! (if any extra information or screenshots is needed I will be happy to provide.)
Just curious why you are looking for "the formula" instead of just abstracting from the raw trade data what you want. I can think of several ways you could calculate something that would fit the words you are using.
You have the formula specified at: https://guides.interactivebrokers.com/tws/usersguidebook/technicalanalytics/intradayvwap.htm
"The formula" is not really mandatory for me, I just want to get their bands values with calculation of their raw data. I want to build kind of alert bot programmatically that will alert if one of my stock in the watch list hits those bands. Thanks!
Thanks for the help! But over here as far as I understand the explanation of the calculation is for the VWAP itself and not for their standard deviation. The VWAP calculation itself is fine (this one is probably the same as any other tools that calculate the value) the differences are in the bands plotting and values.