itch::analytics::Twap Class Reference

Running time-weighted average price. More...

#include <vwap.hpp>

Public Member Functions
auto	add (StandardPrice price, std::uint64_t timestamp) -> void
	Records that the price became price at timestamp (ns).
auto	value () const -> double
	The current TWAP, or NaN when no span has elapsed.
auto	reset () noexcept -> void
	Clears the accumulation (start a new interval).

Detailed Description

Running time-weighted average price.

Integrates the prevailing price over time: each sample contributes its price weighted by the elapsed time since the previous sample. The value is the time-weighted mean over the observed span.

Definition at line 65 of file vwap.hpp.

Member Function Documentation

add()

auto itch::analytics::Twap::add ( StandardPrice  price, std::uint64_t  timestamp  ) -> void

inline

Records that the price became price at timestamp (ns).

Parameters

price	The prevailing price starting at timestamp.
timestamp	Time of the price change, in nanoseconds.

Definition at line 71 of file vwap.hpp.

References price, and timestamp.

value()

auto itch::analytics::Twap::value ( ) const -> double

inline

The current TWAP, or NaN when no span has elapsed.

Returns

The time-weighted average price, or NaN if no sample has been added.

Definition at line 85 of file vwap.hpp.

reset()

auto itch::analytics::Twap::reset ( ) -> void

inlinenoexcept

Clears the accumulation (start a new interval).

Definition at line 93 of file vwap.hpp.

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The documentation for this class was generated from the following file:

• vwap.hpp