Running volume-weighted average price. More...

#include <vwap.hpp>

Public Member Functions
auto	add (StandardPrice price, std::uint64_t shares) -> void
	Adds an execution of `shares` at `price` to the accumulation.

auto	value () const -> double
	The current VWAP, or NaN when no volume has been added.

auto	volume () const noexcept -> std::uint64_t
	The total shares accumulated so far.

auto	reset () noexcept -> void
	Clears the accumulation (start a new interval).

Detailed Description

Running volume-weighted average price.

Accumulates the sum of price times shares and the total shares; the value is their ratio. Use reset at the start of each interval for an interval VWAP.

Definition at line 23 of file vwap.hpp.

Member Function Documentation

◆ add()

auto itch::analytics::Vwap::add	(	StandardPrice	price,
		std::uint64_t	shares
	)		-> void

inline

Adds an execution of shares at price to the accumulation.

Parameters

price	Execution price of the trade being added.
shares	Number of shares traded at `price`.

Definition at line 29 of file vwap.hpp.

References price, and shares.

◆ value()

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

inline

The current VWAP, or NaN when no volume has been added.

Returns: The volume-weighted average price, or NaN if volume() is zero.

Definition at line 37 of file vwap.hpp.

◆ volume()

auto itch::analytics::Vwap::volume ( ) const -> std::uint64_t

inlinenoexcept

The total shares accumulated so far.

Returns: The sum of shares passed to add since construction or the last reset.

Definition at line 47 of file vwap.hpp.

◆ reset()

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

inlinenoexcept

Clears the accumulation (start a new interval).

Definition at line 50 of file vwap.hpp.

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