Wednesday, October 10, 2007

VWAP (Volume Weighted Average Price) used in Algorithmic Trading


The hard part is working out the alorithm that will be profitable using VWAP but calculating VWAP is really easy once you get the stream of prices and qty's into your program.

1 comment:

kimball said...

Alex:
Thank you for your weighted average example for trading shares. I like it. I am a federal employee working for a federal agency in Gaithersburg, Maryland. I need to use weighted average to calculate an average cost of hotel for a traveler in U.S. cities that have seasonal hotel rates. For example, Miami, FL. has hotel rates for June, July, and August at $225/night; it has a rate of $125/night for Jan. and Feb. and a rate of $175 for all other months. Do you have any suggestions for a formula I could use to calculate this weighted average? Thank you.