Apama Capital Markets Foundation Documentation : Capital Markets Foundation : Finance Smart Blocks for Developing Scenarios : CMF financial analytic smart blocks : VWAP Calculator v3.0
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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