Parameter | Description |
duration | Period over which to accumulate data, or 0 for no limit. |
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. |
Feed | Fields | Description |
data | price | The price at which a trade occurred. |
volume | The volume of the trade. |
Feed | Fields | Description |
vwap | value | The volume weighted average price. |
samples | The number of samples over which the VWAP was calculated. |