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Herman,
I think you need to look at each transaction
separately, then sum the results in a loop.
My understanding from the definition you provided
is that you need data on each transaction, but it may be an
adequate approximation if you take each minute as " a transaction"
Ara
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">AmiBroker
Sent: Saturday, February 21, 2004 6:31
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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