VWAP - Initiation point

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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.

I am +1 on an adjustable VWAP initiation point in time!

Thank you!
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+1 vote over here for the VWAP initiation point.

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+ 1
Nero Tulip
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This is usually called 'Anchored VWAP' - you anchor it at a time stamp of your choosing.. or have multiple anchors.. would be a useful addition.
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+ 1 This would be a useful addition.
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Korattt wrote:
Wed Aug 21, 2019 5:09 am
Its in the latest beta. Spent yesterday playing with it :)
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