VWAP Calculator v3.0

This calculates the Volume Weighted Average Price, which is the sum of volume multiplied by the price for each trade divided by the total volume of the trades. Larger volume trades thus have a greater influence on the VWAP than smaller trades.

Description

To make this block available to your scenario, you must add the Analytic APIs bundle to your project.

Parameters

Parameter | Description |

duration | Period over which to accumulate data, or 0 for no limit. |

Operations

Operation | Description |

start | Starts the calculation of VWAP. Must be called before the calculator will generate any statistics. |

stop | Stops the calculation of further VWAP. Any subsequent input feeds are ignored. |

clear | Clears the current data set. |

Input feeds

Feed | Fields | Description |

data | price | The price at which a trade occurred. |

volume | The volume of the trade. |

Output feeds

Feed | Fields | Description |

vwap | value | The volume weighted average price. |

samples | The number of samples over which the VWAP was calculated. |

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