Re: [amibroker] Calculating VWAP prices with RT data

["Anthony Faragasso" <ajf1111@xxxxxxxx>]

Herman,
 
can you do anything with this, it is a Volume 
weighted Exponential moving average:
 

function VWEMA( price, periods )
{
num = AMA( price * 
Volume, 2<FONT 
size=2>/(periods+1) 
);
den = AMA( Volume, 
2 / 
(periods+1) );
return num/den;
}
Plot(Vwema(C,<FONT color=#ff00ff 
size=2>13),<FONT color=#ff00ff 
size=2>"",colorRed,styleLine);<FONT 
color=#0000ff size=2>
Plot(C,<FONT color=#ff00ff 
size=2>"",colorBlack,styleCandle);<FONT 
color=#0000ff size=2>
Plot(V,<FONT color=#ff00ff 
size=2>"",colorBlue,styleHistogram|styleOwnScale); 

 
Anthony
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Herman van den 
  Bergen 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">AmiBroker 
  Sent: Saturday, February 21, 2004 8:13 
  PM
  Subject: [amibroker] Calculating VWAP 
  prices with RT data
  
  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
   
    Send BUG 
  REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
  suggest@xxxxxxxxxxxxx-----------------------------------------Post 
  AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
  href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
  group FAQ at: <A 
  href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
  


Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html








Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/ 
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx 
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.