Justin's Playground

I like this idea at this time of writing......

triggered.

Didn't work out.

Then I like this idea.....

Hi Justin,
See if it works out

Thank you Steve... yes, that looks promising!!

Depending on your entry level, I think we missed this opportunity.... It bounced from VWAP.

GOLD
Pending Long Trade 62.5% of Fib. A to B (4325.07)

Looks like Price is leaving without me, it happens

Technically it's triggered but we might have some deeper pull-back......

GOLD
Pending Long Trade Triggered @ 4325.07

Too bad it didn't work out either..... Hum......

In hindsight, it looks VWAP (dashed purple line) played its role.... Bouncing from the VWAP and then going down below it doesn't look good in my experience.......

Is VWAP data same between level 1 and level 2 CME data feed?


Short answer:
No. VWAP derived from Level 1 and Level 2 CME data feeds is not guaranteed to be the same.
Why they differ (clearly and precisely)
1. What VWAP needs
VWAP is based on executed trades:

1. Trade price
2. Trade volume
3. Exact sequencing of trades

2. Level 1 CME feed (Top-of-Book)
Typical characteristics:

1. Aggregated trade prints
2. Possible volume compression during high activity
3. Fewer updates under heavy load
4. No depth context

Result:

1. VWAP is an approximation
2. Small inaccuracies accumulate intraday
3. Deviations increase during volatility (open, news, spikes)

3. Level 2 CME feed (Market Depth / MBP)
Typical characteristics:

1. Tick-by-tick trade reporting
2. Accurate volume attribution
3. Proper sequencing of executions
4. Full depth context (even if VWAP itself doesn’t “need” depth)

Result:

1. More accurate VWAP
2. Matches exchange-calculated VWAP much more closely

How big is the difference?
VWAP TypeDifference
Session VWAPUsually very small (often < 1 tick)
Anchored VWAPCan differ noticeably
Rolling / intraday VWAPCan diverge meaningfully
VWAP bands (σ)Differences amplified
For CME futures like GC, ES, NQ, this matters if VWAP is a precise execution level, not just a bias tool.
Important CME nuance
CME provides:

1. Top-of-Book → Level 1
2. Market-By-Price (MBP) → Level 2
3. Market-By-Order (MBO) → institutional

Most retail “Level 1” feeds filter or aggregate trades, which directly affects VWAP precision.
Bottom line

1. VWAP from Level 1 ≠ VWAP from Level 2
2. Level 1 VWAP = usable approximation
3. Level 2 VWAP = execution-grade accuracy
4. The faster your trading and the shorter your anchor, the more Level 2 matters

If you want, tell me your broker + platform (Quantower, MotiveWave, etc.) and instrument, and I’ll tell you whether your VWAP is trustworthy or not in that exact setup.

Purchased $25K trailing eval account for the new year. It will be dedicated to VWAP based 30 sec chart scalping. It's a clean new start and I bet it'll be fun...

Swing low is preserved in hindsight. So it wasn't totally wrong analysis... Yes, time to time swing low might be the safer place to put SL. Even if you put SL to the swing low, you might easily achieve 1:1 RR.

It should pull back before it reaches target point (circled one)... if it doesn't pull back until it reaches this point, this plan is negated.