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Hello,Has anybody written a VWAP formula for RT data? I
would be happy with a minute approximation.
"...The VWAP for a stock is calculated by adding the dollars
traded for every transaction in that stock ("price" x "number of shares traded")
and dividing the total shares traded.A VWAP is computed from the open of
the market to the market close, and is calculated by volume weighting all
transactions during this time period."
[ <A
href="">http://interactivebrokers.com/html/tradingInfo/orders/vwapOrders.html ]
Thanks,
herman
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