Re: [amibroker] Calculating VWAP prices with RT data

["Anthony Faragasso" <ajf1111@xxxxxxxx>]

Herman,
 
DailyMF = ValueWhen(TradingHours 
,Sum(V*(H+L)/2,390));       // calculate daily 
price*volumeDailyVol = ValueWhen(TradingHours 
,Sum(V,390));                
 
Does this do it. The definition says to " volume weight all 
transactions during this time period "
 
Anthony
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Herman van den 
  Bergen 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">AmiBroker 
  Sent: Saturday, February 21, 2004 9:31 
  PM
  Subject: [amibroker] Calculating VWAP 
  prices with RT data
  
  Further to my earlier post copied down below I tried to code 
  the daily VWAP prices for RT data but  i am getting some results but it 
  "doesn't look" good. For example I cannot imagine how a VWAP price can be 
  outside the daily high and low... comments invited on what could be wrong with 
  my code. See definition of VWAY below.EndOfDay = TimeNum() == 
  160000;StartOfDay = TimeNum() == 093000;TradingHours = TimeNum() >= 
  093000AND TimeNum() <= 160000;
  DailyMF = 
  ValueWhen(EndOfDay,Sum(V*(H+L)/2,390));       // 
  calculate daily price*volumeDailyVol = 
  ValueWhen(EndOfDay,Sum(V,390));                       
  // calculate daily volumeVWAP = 
  DailyMF/DailyVol;                                                         
  // VWAP
  <FONT 
  size=2>Plot(IIf(TradingHours,VWAP,Null),"VWAP",2,1);Plot(C,"",1,64);Plot(StartOfDay,"StartOfDay",5,2|styleOwnScale);Plot(EndOfDay,"EndOfDay",4,2|styleOwnScale);Plot(NOT 
  TradingHours,"ExtHours",0,styleArea|styleOwnScale);Thanks,Herman.
  
  

  
  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="" 
  target=_blank>http://interactivebrokers.com/html/tradingInfo/orders/vwapOrders.html 
  ]Thanks,hermanSend BUG REPORTS to 
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