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Hi,
The strategy I am currently working on requires the Volume Weighted Average Price of an equity to constantly be checked. I found the VWAP Indicator and tried to implement it into my strategy, but whenever I check the value of the VWAP it always returns 0.0. I dont know if this is a bug or the example of how it is used in incorrect, or if I'm just missing something, but if anyone knows how to better use the VWAP indicator or of another way to check the VWAP of an equity that would be great! Thanks.
Alexandre Catarino
Please checkout a simple algorithm we wrote to show how to implement the VWAP indicator:
// In Initialize _vwap = VWAP("SPY", 20);and show its value
// In OnData Plot("SPY", "VWAP", _vwap);Walter Greaney
Im trying to set this up to do the Emini SP 500, but having some issues (noob trying to learn) how would I do this?
Halldor Andersen
Hi Walter.
Using technical indicator on future prices is a challenge as future contracts expire on their expiration date.
By combining several futures contracts together, it is possible to create a 'continuous futures contract,' an extended price series. Extended futures contracts series is not part of our data library yet.
It is however relatively easy to establish a trading signal using price series an ETF price series, such as SPY.
I've attached a backtest where I demonstrate how to trade E-Mini futures contracts using trading signals from moving average cross-over on SPY. Check out this documentation section on Futures in the Data Library for more information on how to request futures data.
PokerWinner
Any updates on using technical indicators on futures? Are they easier to implement now?Â
Varad Kabade
Hi Pietro Petitti,
We recommend going through this algorithm which demonstrates the use of indicators on a futures contract. Regarding indicators on continuous futures, please subscribe to the following GitHub issue:
Add continuous futures price support. #1650
for updates.
Varad Kabade
William Culver
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