VWAP with IB

Discussion in 'Trading Software' started by caret311, Mar 17, 2010.

  1. caret311


    I am trying to find a way to get VWAP with IB. As I understand IB doesn't provide VWAP info on charts.

    Are there any free supplemental charting applications I can use to get VWAP on charts from IB feed?

    QuoteTracker isn't free anymore (I'm not with Ameritrade). I downloaded the latest Ninjatrader and I don't see VWAP as one of the options in the list of indicators.

    Any pointers/suggestions would be great!

  2. rsi80


    NinjaTrader - VWAP

  3. caret311


    Thanks much! That seems like it should work, trying it out now.
  4. JGRtrader


    I see that one can write JAVA scripts to add indicators to IB TWS. Anyone know if it has been done to provide VWAP for their charts?
  5. DAV

    DAV ET Sponsor

    For the original request, there is a checkbox in the Chart Settings to show 'VWAP on bar".
  6. JGRtrader


    I have that checked but I don't see anything. Is that just the VWAP for the period of the bar or for the whole day. What I am used to is a VWAP curve with Std Dev (of price) bands. Also that the period can be between any two points on the chart or for a day or for multiple days.
  7. DAV

    DAV ET Sponsor

    You should see a line across the bars that marks the VWAP.
  8. DAV, what you guys are doing is on a per bar basis only , fairly useless.

    I'm surprised TWS hasn't implemented a standard vwap line for the day, or whatever period the user selects. Every other charting package has this and it's a simple calc.
  9. Yes, it is just for the bar.

    That can be helpful, especially if one trades bar by bar and wants to see who won the bar, bulls or bears.

    But, no, IB does not offer VWAP in the ways you mentioned.
  10. I like that feature a lot. And IB has DEFINITELY improved its charting.

    But I wish IB had a VWAP feature that covered the period covered.

    For example, I use 5 minute bars and display just the current day's bars.

    If IB had a feature that displayed the current day's VWAP as a line on the intraday chart, that might be an improvement.

    Right now, one can open up another screen with daily bars, and see the VWAP for the current day.

    But it is a pain. I like having just one screen and focusing on that one screen.

    Just my opinion.
    #10     Dec 4, 2010