VWAP readings dont match the chart

[HSA]

I have noticed that VWAP reading does not match the chart especially for SPY on one minute time frame.  Do I need to do some adjustments to VWAP formula parameters ?

Thanks

[Andrew Sinclair]

VWAP is an accumulated weighted average price, different start date/times produce different results.

So you need to ensure that whatever data source you are comparing against has exactly the same start date and time.

If, after checking, there is still a discrepancy, please attach a spreadsheet and link to the data source you are comparing with and we can investigate further.

Kind Regards,

Andrew Sinclair

Coderun Technologies

[HSA]

I am using a range of 400 points in the standard VWAP formula. It looks like I have to adjust the range in the formula with a vba script during the trading hours.
Thanks

[HSA]

Hi Andrew

SPY VWAP on one minute time frame ended at 675.98 as shown in the trading chart.

The VWAP formula on a range of 390 rows (total market minutes) calculated 674.635

Please see attached files.

Thanks

On Thursday, November 13, 2025 at 3:23:00 PM UTC+3 andy.s...@gmail.com wrote:

[Andrew Sinclair]

In cell G3 you have the EMA formula:

=EPF.TA.VWAP(E3:E390,C3:C390,D3:D390,C3:C390,A3:A390)

The fourth parameter should be the volume series, however you have specified column C which is the High price.

 
The volume data is column F therefore you need to fix your formula like this:

=EPF.TA.VWAP(E3:E390,C3:C390,D3:D390,F3:F390,A3:A390)

Try this and see if it returns the results you expect.

Please note that any time series you download via Excel Price Feed is specified in Coordinated Universal Time (UTC). You may need to use =EPF.Dates.UTCToLocal to convert from UTC to your local time.

[HSA]

Thanks for your prompt response and finding the problem.

It would be great if your system will have a vwap function that calculates the daily vwap without the need for specifying a range. Otherwise, I will have to readjust the range during market hours in order to obtain an accurate calculation.

Do you plan to add parabalic SAR ?

Thanks