Discussion in 'Trading Software' started by Xuanxue, Jul 27, 2008.

  1. Xuanxue


    So why are VWAP indicators pre-packaged in charting solutions a farce? And why should we condemn they who peddle them?

    First charting companies lease rights to a limited portion of historical and real-time data from exchanges at a nominal percentage of the cost of the charting solutions' business. Straight forward, but none of the data from the exchanges being leased is published for a specific purpose, like at the book trades, VWAP, Quant algorithms, option strategies &c. The data is raw. There's nothing wrong with that in and of itself obviously but what's needed to time institutional VWAP trades accurately are a) a feed to a data vendor who publishes VWAP calculations, b) the data vendor then must have a reliable database large enough to house n feeds to x exchanges, and c) the data vendor has to have exclusive knowledge to know which trades from y exchange are or are not being factored into VWAP at any given nano-second, at any given exchange and on xyz stocks within the exchanges. Needless to say there aren't many said data vendors extant, and were your charting solution provider leasing data from such a vendor, you certainly would know it looking at your bottom line.

    What is it exactly charting companies are passing off as VWAP? A weighted moving average of volume mostly and if you're lucky maybe Level 1.5 trades weighted, but off the book trades aren't calculated - for no other reason than retail brokers and traders, specialists, market makers and institutional traders can't manipulate the calculation in numerous VWAP spread trades.

    So I ask you: in your opinions, do we traders have a legal case against charting companies if you can prove that you lost money on what you were under the asumption were precisely timed excecution signals from a conglomerate of mass-automated VWAP trades, when in fact, said companies falsely represented having met the requirements to offer VWAP published data?
  2. You will need to re-read your term of service of your provider. For example:
  3. Correct. Read that first word again. DISCLAIMER.
  4. Xuanxue


    Look I'm not after a suit to reclaim damages, but rather a false advertising suit to save others from losing money.

    I've talked this over with my attorney, gave him a copy of the TOS, white papers on Vhayu Technologies (a VWAP Publisher) my venders' VWAP code and he seems to think a case against them is solid.

    Retail traders on their own are already at a distinct disadvantage; software providers we all rely on to trade shouldn't be allowed by SEC regulation and common law to further along that statistical disadvantage.

    Now that I'm clear, we shouldn't if discussion continues have any continuing non-issue outburts of the blatantly obvious.

    I can only hope.
  5. tortoise


    Ok...I'll volunteer the first stupid question.

    Are you saying the VWAP that, say, TradeStation says is the VWAP on its matrix is, in fact, not the true VWAP, but some weighted volume average confabulation?