reference:
“High Frequency Trading, A Pratical Guide to Algorithmic Strategies and Trading Systems (Aldridge, Irene)”
Characteristics
- The calculation of VWAP is in accordance with the literature.
- 4 types of VWAPs, daily, monthly, yearly, moving. Note: Daily is the most popular form, the calculation is performed from the beginning to the end of each trading session (Market benchmark). In the moving, the calculation is carried out from n periods past to the current period, as with the famous moving averages, however weighted by volume.
- Possibility to choose between 2 types of volume calculation, real volume or tick volume.
- A label is displayed with the VWAP price calculation, which is allowed to change the size and style the border.
- Possibility to change the width and stylize the VWAP’s historic line.
- The calculation of VWAP is in accordance with the literature.
- 4 types of VWAPs, daily, monthly, yearly, moving. Note: Daily is the most popular form, the calculation is performed from the beginning to the end of each trading session (Market benchmark). In the moving, the calculation is carried out from n periods past to the current period, as with the famous moving averages, however weighted by volume.
- Possibility to choose between 2 types of volume calculation, real volume or tick volume.
- A label is displayed with the VWAP price calculation, which is allowed to change the size and style the border.
- Possibility to change the width and stylize the VWAP’s historic line.
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Input Parameters tab
- VWAP Type – VWAP type, daily, monthly, yearly or moving.
- Period – Period to be considered in the moving VWAP calculation.
- Volume Type – Type of volume. By real volume or tick volume.
- Color – Line color.
- Width – Line width.
- Style – Line style.
- Border Width – Size of the digits and the label’s border.
- Border Style – Label border style.
- VWAP Type – VWAP type, daily, monthly, yearly or moving.
- Period – Period to be considered in the moving VWAP calculation.
- Volume Type – Type of volume. By real volume or tick volume.
- Color – Line color.
- Width – Line width.
- Style – Line style.
- Border Width – Size of the digits and the label’s border.
- Border Style – Label border style.
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