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In the absence of "Real" volume for CME futures contracts,
is it valid to weight using uptick/downtick numbers instead ?
> -----Original Message-----
> From: DH [mailto:catapult@xxxxxxxxxxxxxx]
> Sent: Monday, November 20, 2000 11:50 PM
> To: Omega List
> Subject: Re: Volume weighted average
>
>
> This isn't exactly like Arms' implementation and also isn't the most
> efficient code but here's a simplified version (unverified) that
> demonstrates the concept. Basically, you are giving more weight to the
> price on bars with heavier volume.
>
> {function: volume_weighted_average}
>
> input: price(numeric), period(numeric);
> var: price_vol(price*volume), avg(price);
>
> price_vol = price * volume;
> avg = summation(price_vol,period) / summation(volume,period);
>
> volume_weighted_average = avg;
>
> --
> Dennis
>
>
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