I read in some article that ATP and VWAP is the same thing. Is that True? Also in NEST the values for columns VWAP Close and ATP IV shows as a Zero. Could you please tell me first what is the meaning of the three columns?
ATP=average traded price
VWAP=volume weighted average price
IV=implied volatility
Yes, what you’ve read is true. ATP and VWAP are pretty much the same but VWAP is more refined as it takes the volume into consideration so the average price is slightly different.
Specifically to NEST or ZT, I can safely say that ATP (Average Traded Price) is for the entire trading session whereas VWAP (Volume Weighted Average Price) can be calculated for a specific time frame like 1 minute or 5 minutes for example.
The ATP IV (Implied Volatility) column on the Market Watch will always show 0 because we do not calculate that on NEST. Even the VWAP Close column will always show 0 as nobody really uses it.
You need to access the entire VWAP data to make some meaningful analysis. To access VWAP use Ctrl+Shift+H or right click on the MW and go to Tools > VWAP statistics.
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Thank you for the reply Pradeepkumar … so does that mean that in NEST trader ATP and VWAP are different things. some articles I read mentioned ATP and VWAP as one and the same. Please correct me if I am wrong. Also could you tell me why does the column VWAP close in NEST Trader show a 0 value?