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Date/Time: Sun, 22 Dec 2024 10:47:04 +0000

Post From: TWAP

[2015-08-08 13:57:18] Link To Thread - Link To Post [Go To First Post]
crazybears - Posts: 314
Hi if i understood correctly , TWAP is calculated as the sum of each price multiplied the difference of time between the previous and new tick. that sum is divided by the total time, is similar to VWAP formula.
1x Thank you
Attachment Deleted. TWAP.cpp - Attached On 2015-08-08 13:52:50 UTC - Size: 2.88 KB - 566 views