MACDs for VIX

hyperbole

New member
This may be considered off topic, since it isn't about ThinkScript. I don't know where else to ask this question.

I've written a program that uses candle data to calculate the MACD for a given symbol over a specified period of time. When I run the program for /ES and compare the results to the MACD-2-line study, my results are within 0.001 of being the same as those at ThinkOrSwim. However, when I run the program for VIX, my results differ from those at ThinkOrSwim by as much as 0.05 to 0.20.

I'm using the exact same formulae to calculate the MACDs for /ES and VIX, but, getting very different results. Can anyone suggest why my VIX MACDs don't match with those at ThinOrSwim? I'd really appreciate anyone's help with this.
 

MerryDay

Well-known member
VIP
@hyperbole We have so many very very smart people on this forum, one of them might chime in or someone else may have run into a similar problem and be able to answer your question. However, if you do not get an answer and you end up going to TOS Support, could you come back and tell us their answer? I am interested.
 

hyperbole

New member
@rad14733, I had considered that possibility, but since the VIX values are all between 0 and 100, and it's MACDs are -2.00 to 2.00, and the calculations are done with 64-bit floating point numbers, I don't think I'm experiencing rounding issues. But, I'll look into that some more to absolutely rule it out.
 

rad14733

Well-known member
VIP
@hyperbole The issue may be due to the fact that VIX is not directly tradable whereas /ES is a tradable instrument... Therefore VIX is only an index based on volatility algorithms rather than actual time-based trade data and as such could be easily skewed...
 

rad14733

Well-known member
VIP
I don't understand that. Why would tradable vs non-tradable make a difference in the way the MACDs are calculated?

I said it "may" be due . . . . Call Thinkorswim Tech Support if you want a more concrete answer...

The VIX Index is calculated between 2:15 a.m. CT and 8:15 a.m. CT and between 8:30 a.m. CT and 3:15 p.m. CT. Only SPX options with more than 23 days and less than 37 days to the Friday SPX expiration are used to calculate the VIX Index.

/ES is traded: Sunday - Friday 5:00p.m. - 4:00p.m. CT with a trading halt from 3:15p.m. - 3:30p.m. CT; Daily Maintenance period Monday - Thursday 4:00p.m. - 5:00p.m.
 

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