- ago
VWAP on Futures should start daily at 18:00 EST, not 00:00

Futures day begins at 18:00, not midnight

Is there any way to fix this?
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Cone7
- ago
#1
Certainly it's a problem to arbitrarily use the date to reset VWAP for a 24-hour market, and I understand why you think 18:00 ET is the right starting time for the S&P 500 E-mini. However, in my opinion VWAP should start calculating, i.e., reset each day, when the regular trading session starts - that's 09:30 ET.

Let's call it a bug and see if we can add an overload parameter to that indicator to make that setting configurable.
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