how can I reference VWAP from /ES Futures to SPX

[lguides]

- Any help with referencing the VWAP from /ES to SPX as a red line?

 

[Joshua]

You can't. You should be able to, and you can with other symbols, but not SPX. Probably not with any other index either.

Basically, SPX is not a tradable instrument. It may have tradable derivatives, but as an index, its just a mathematical calculation which is updated periodically. SPX has zero volume of its own. Therefore, if you enable the volume subgraph, and pull up a chart with SPX, you will be met with an error informing you that volume has been hidden.

Further more, if you apply a script to SPX which includes the Volume() function, it will cause the script to fail. It does not matter if the volume function is a reference to a different symbol's volume, like Volume("/ES"), it will still fail. Below I've written a simple label to display /ES's volume from another symbol. With SPX, It doesn't come up as even 0 or NaN, it just throws an error.

I don't understand the reasoning behind this myself, perhaps its a bug in TOS/ThinkScript...

Open Interest will fail too, if I remember correctly.

This is the culprit behind those complex options-to-chart scripts not working with SPX options.

On a side note, there are some chart providers that pretend SPX has volume by displaying the total volume of all S&P500 components, or something like that, but its fakery as far as I know.

 

[JVE]

You can't. You should be able to, and you can with other symbols, but not SPX. Probably not with any other index either.

Basically, SPX is not a tradable instrument. It may have tradable derivatives, but as an index, its just a mathematical calculation which is updated periodically. SPX has zero volume of its own. Therefore, if you enable the volume subgraph, and pull up a chart with SPX, you will be met with an error informing you that volume has been hidden.

Further more, if you apply a script to SPX which includes the Volume() function, it will cause the script to fail. It does not matter if the volume function is a reference to a different symbol's volume, like Volume("/ES"), it will still fail. Below I've written a simple label to display /ES's volume from another symbol. With SPX, It doesn't come up as even 0 or NaN, it just throws an error.

I don't understand the reasoning behind this myself, perhaps its a bug in TOS/ThinkScript...

Open Interest will fail too, if I remember correctly.

This is the culprit behind those complex options-to-chart scripts not working with SPX options.

On a side note, there are some chart providers that pretend SPX has volume by displaying the total volume of all S&P500 components, or something like that, but its fakery as far as I know.

Actually, that's not quite correct. You actually can get volume for a different symbol, and the value is returned correctly. But you can't plot the data. You can display it in a chart bubble though. It really feels like a bug that needs to be reported.

 

[lguides]

I agree, I don't know if there is an explanation about this from TOS but yeah sounds like its a bug.