JTools Table of Contents

Project Location: \JTools_Vwapper

The Vwapper Application is a small extension of the One Second Charter Application that also charts VWAP (Volume Weighted Average Price) and VWAP vs Price difference.

There is also a feature in this application that deserves some attention. As this chart application stores no history, bars are only built and shown from the time a symbol request is made. Each time a new request is made the chart clears as new bars get built. With one second time intervals, charts fully populate fairly quickly. However, the most common VWAP calculation requires VWAP to be calculated from the start of trading day to the end of the trading day. In order to achieve this, the Vwapper Application is calculating and maintaining VWAP numbers for every issue in the system and for every trade received. As such, when you bring up a new issue, the VWAP number is current and the charting will reflect this. It is yet another example of the 'whole market analysis' one can perform with NxCore. This is not only applicable to this small charting app, but any application that uses VWAP.

The following chart shows the VWAP line (magenta). If the current trading price is above the VWAP price, a green line (bar) is drawn from the VWAP price to the trading price. If the current trading price is under the VWAP price, a red line (bar) is drawn from the VWAP price to the trading price. Standard bars are then overlaid on top:

In this chart, the overlaid bars are replaced with a solid white line, representing the last sale price:

And in this chart, traditional bars with only the VWAP line being shown:

Composite Stats:
  • Symbol - Symbol of the issue being plotted.
  • Name - Name of the issue being plotted.
  • Status - Status of a symbol request.
  • LTrade Time - Time of the last trade.
  • Last - Price of the last trade.
  • VWAP - Current VWAP Price.
  • Volume - Total volume for the day.
  • NetChg - Net change of price from the previous trading day.
Switches and Toggles:
  • Bar Spacing- Amount of pixels one bar will contain in width (x axis).
  • Pause Chart - Will pause chart plotting while still collecting data.
  • JmpRT - If the chart has been scrolled back in time, JmpRT will be enabled and pressing it will cause the chart to jump forward to the most recent time..
  • Vol - Toggle Volume on/off.
  • 1/4 - If volume is on, checking 1/4 will cause the volume chart to be 25% size of the total charting space. If off volume will take 50% of the chart space..
  • Grids - If on, price and time grids will be displayed in the charts.
  • Bars - Displays price using traditional bars representing the high-low-close values for the one second interval.
  • Candlestick - Displays price using Candlestick charting.
  • Line - Displays price using a solid line.
  • VWAP Line - Displays VWAP price using a solid line only.
  • VWAP Diff - Displays VWAP vs. Price difference bars as well as the VWAP line.
  • OLSP - Odd lots by default do not update pricing, but volume only. Checking this field will incorporate odd lot trade prices in the bar data.

Because the VWAP number is being continually maintained for all issues in the system, the VWAP number is accurate at the time any new request is made even though the actual bar data is only current from the time the new request was made:

Symbol Convention:

Since all symbol types are supported in this application the full NxCore symbol must be used. As an example 'eIBM' for the stock IBM and iDJI for the Dow Jones 30 index.

Furthermore, because a symbol may be duplicated on more than one listing exchange. For instance GE is listed on both the NYSE and Canadian exchange, and represent different companies. As an example of how to specify the listing exchange in the symbol:
  • eGE or eGE:3 - General Electric on the NYSE exchange (exchange # 3).
  • eGE:19 - Granville Pacific Capital Corp on the CDNX exchange (exchange #19).

The exchange designators correspond to the default NxCore exchange codes found here: NxCore Exchange Codes

You may enter a new symbol at any time. Simply type in the symbol and press the ENTER key. If the symbol is valid, the display will clear and begin populating with current trades.

If the symbol entered is not valid, a "Symbol Not Found" message is displayed in the Symbol Status field.

You can cancel listening to a symbol by simply clearing the symbol and pressing the ENTER key.

If you have not started NxCore prior to entering a symbol then NxCore will be started when you press ENTER. When doing this, it may take a couple seconds for the symbol's name to appear as NxCore has just started and the category information (with company names) does not become available for the first few minutes of the tape. When entering symbols after the tape has been started all information is delivered immediately.

One further caveat - if you have started NxCore using an NxCore State File (as opposed to an NxCore historical tape) the company names will most likely not be available. This is because the state file will (most likely) be from a timeframe beyond the Category 4 messages (which occur in the first few minutes of the tape) and as such, they are not available at the point where the state file begins to process the tape. No other aspect of the application is effected when running from state files.

NOTE: Indexes are not supported in the VWAP'r application, as there are no real trades in an index. Furthermore many indexes do not contain volume numbers and when they do, volume does not represent trade size.

Colors and Additional Settings:

You may change colors for he entire application by clicking on the application icon in the upper left corner, and choosing 'Color Prefs / Settings':

There are also 3 options in the lower section of the chart:
  1. Allow FormT Trades - When on, Form-T trades (pre-post market trades) are allowed to set VWAP. When off only trades that can set the official last price are eligible to set VWAP.

  2. Allow Inserts - When on, Insert trades are allowed to set the VWAP at the time they are inserted. Inserted trades may be adjustments to Canceled trades and are not real time.

  3. Allow Cancels - When on, Cancelled trades are subtracted from the VWAP price when they are received.

JTools Table of Contents