gabriel3da 0 Posted April 3, 2018 For what I read online VWAP should represent the same value on every single chart, no matter the timeframe chosen. My DAS platform plots differently VWAP on my 5 min and 1 min and I don't which one to respect more. I normally trade using 5 min as a base, but I don't understand why they are different. Thanks! Gabriel Share this post Link to post Share on other sites
Robert H 453 Posted April 3, 2018 This happens sometimes in DAS. I believe it is a bug. The 1-minute, 5-minute, and Montage can all have different values for VWAP; it can range from pennies to dimes apart. I normally trade what's on the chart since I assume that is what other traders are looking at. Share this post Link to post Share on other sites
Dima 10 Posted April 4, 2018 I got in touch with DAS engineers and it turns out that it's not a bug (which I had also assumed it was), but actually a deliberate way to calculate VWAP in two different ways. On the montage, the VWAP is calculated by using every intraday price tick and weighting by volume; this is usually the textbook definition of VWAP and is what pro terminals like Bloomberg use. The graphs, on the other hand, weighting the volume during each candle against a price calculated using the (high+low+close)/3 of that candle. This is why for particularly volatile stocks, you'll see discrepancies across timeframes. If in doubt, use the montage's value. 2 2 Share this post Link to post Share on other sites
