I suspect that there is an issue with the automatic calculation of the Volume Weighted Average Price (VWAP), in that it seems to only calculate the average from a limited number of points.
Is this correct? And if so, how do I correct the code to instead base the VWAP on the entire series?
I noticed the potential issue when testing a live-update of my chart with some artificial data - every 3 seconds a new identical data point was added to the series. Initially, the VWAP behaves as expected, but after ~100 new points it suddenly jumps to the exact value of the added point.
Please see attached screenshot for a visual presentation of the problem. Prices are on top, volume is on bottom. VWAP is the grey line, and the orange line corresponds to the current time.