Can someone please post an example of using the IntradayVwap with SPY for 2/1/2022? I'm trying to code the VWAP that is used in thinkorswim and from what I can see, the thinkorswim study does not have input for a timeperiod (only the standard deviations for upper and lower). So, I'm assuming it starts at the beginning of the day and uses the latest bar as the day goes on. On a 1-min chart, at 9:31AM it has 1 for the timeperiod, but at 9:46AM it has 46 for the timeperiod. Basically, making it dynamic as the day goes on. I'm hoping IntradayVwap does the same thing. I want to match the thinkorswim VWAP study intraday.
Louis Szeto
Hi Travis
We cannot use the qb.Indicator helper method for IntradayVwap. Instead, follow the attached example algorithm/research notebook for its usage.
Best
Louis
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Travis Newman
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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