VWAP - Initiation point

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jimibt
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I would like to suggest a small improvement to the tracking of the VWAP property.

Currently, VWAP is calculated from the point at which the market is made available on Betfair. This means that odds n' sods trades (large and small) at random prices get factored into the VWAP calculation, thus distorting the true VWAP in relation to the trading *timewindow*.

I would like to suggest the addition of a Flag of some sort accessed via Global Settings. This Flag could be as simple as being Volume related, thus VWAP could be calculated from the point at which the volume is greater than 100000 etc... it could also be time related, i.e. VWAP from 300 seconds prior to race start.

A combination of both of those attributes would give a very accurate reflection on the relevant VWAP for the scenario in question (5 minute PRE trading in this example).

Look forward to seeing how this looks :D
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Dallas
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I'm sure that's already in the suggestion area and is under consideration
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jimibt
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Dallas wrote:
Thu Feb 21, 2019 10:09 am
I'm sure that's already in the suggestion area and is under consideration
B8llocks -was probably me on that one too. certain demetia is on its way :( :D
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Dallas
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jimibt wrote:
Thu Feb 21, 2019 10:15 am
Dallas wrote:
Thu Feb 21, 2019 10:09 am
I'm sure that's already in the suggestion area and is under consideration
B8llocks -was probably me on that one too. certain demetia is on its way :( :D
:) I think it was you, although I couldn't find it in a quick search but I'm certain Bet Angel did respond to it at the time, it could have been posted within another/similar suggestion rather than its own thread
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jimibt
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Dallas wrote:
Thu Feb 21, 2019 10:19 am
jimibt wrote:
Thu Feb 21, 2019 10:15 am
Dallas wrote:
Thu Feb 21, 2019 10:09 am
I'm sure that's already in the suggestion area and is under consideration
B8llocks -was probably me on that one too. certain demetia is on its way :( :D
:) I think it was you, although I couldn't find it in a quick search but I'm certain Bet Angel did respond to it at the time, it could have been posted within another/similar suggestion rather than its own thread
well, maybe register this as the OFFICIAL request post then ;)

it's actually a very decent apporach as i've studied this using the API and MUCH better results are obtained by using a targetted timewindow of prices, rather than a bland WHOLE MARKET approach.
Samo154
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interested in how you find vwap useful? never looked into it. does it play part inrunning?
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jimibt
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Samo154 wrote:
Thu Feb 21, 2019 11:02 am
interested in how you find vwap useful? never looked into it. does it play part inrunning?
no - i use VWAP primarily as an indicator during PRE race. there are a number of applications for VWAP in financials but the main one in terms of BA is where the VWAP touches or crosses the current price. this indicates (in combo with other metrics) either a change in price direction, or some sort of price consolidation. if the tmewindow of VWAP is adjusted to focus on the main recent activity, then it potentially gives clearer signals.

VWAP is of course a lagging indicator, so it can't really be used in total isolation. however, when used as an ingredient in a mix of signals can be very useful. I suggest a quick preview on pages similar to this to get you up to speed (caveat -sports markets aren't really as sophisticated as FM's, however, the basics do tend to have similar properites):
Bet Angel
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Bet Angel
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Are you talking about VWAP used by Automation (rather than anything elsewhere in Bet Angel such as excel)?

Betfair don't timestamp the traded volume in the data that can be downloaded from the API, so you'd need the ability to checkpoint the volume ladder at a specific point in time (triggered as a rule I suppose) and calculate the VWAP as a delta to that.
You'd only be able to store one checkpoint for the selection (each checkpoint would overwrite the last). If we allowed a ongoing sliding timewindow, the amount of data required to be stored would soon mount up.

At what point in time before the start of the race would you considering checkpointing? Not that it really matters as it'd occur when the rule triggers, but you'd have to ensure the rule could actually run and wasn't limited by restricted refresh. You could trigger based on a market volume condition if required... again as long as the market was allowed to refresh so that the volume could be tested.

Anyway, yes it's possible (as a single checkpoint), but it'll need some +1s as there's a bit of complexity to overcome.
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jimibt
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Bet Angel wrote:
Thu Feb 21, 2019 11:56 am
Are you talking about VWAP used by Automation (rather than anything elsewhere in Bet Angel such as excel)?

Betfair don't timestamp the traded volume in the data that can be downloaded from the API, so you'd need the ability to checkpoint the volume ladder at a specific point in time (triggered as a rule I suppose) and calculate the VWAP as a delta to that.
You'd only be able to store one checkpoint for the selection (each checkpoint would overwrite the last). If we allowed a ongoing sliding timewindow, the amount of data required to be stored would soon mount up.

At what point in time before the start of the race would you considering checkpointing? Not that it really matters as it'd occur when the rule triggers, but you'd have to ensure the rule could actually run and wasn't limited by restricted refresh. You could trigger based on a market volume condition if required... again as long as the market was allowed to refresh so that the volume could be tested.

Anyway, yes it's possible (as a single checkpoint), but it'll need some +1s as there's a bit of complexity to overcome.
ok +1(n) :D

i'm aware of the complexity you mention and would probably (for horse racing at least) imagine a 10-15 minute window would build enough of a profile. also, if no options were selected, then it would act as it currently does...
eatyourgreens
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jimibt wrote:
Thu Feb 21, 2019 10:15 am
Dallas wrote:
Thu Feb 21, 2019 10:09 am
I'm sure that's already in the suggestion area and is under consideration
B8llocks -was probably me on that one too. certain demetia is on its way :( :D
hope you havent forgot the 20 bucks I lent you last week! :lol:
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