vwap.hpp File Reference

Running VWAP and TWAP accumulators for streaming price and volume data. More...

#include <cstdint>
#include <limits>
#include "itch/price.hpp"

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Classes
class	itch::analytics::Vwap
	Running volume-weighted average price. More...
class	itch::analytics::Twap
	Running time-weighted average price. More...

Namespaces
namespace	itch
namespace	itch::analytics

Detailed Description

Running VWAP and TWAP accumulators for streaming price and volume data.

These lightweight accumulators are fed one execution or price sample at a time and report a running volume-weighted or time-weighted average price without retaining the full history of samples.

Author

Bertin Balouki SIMYELI

Definition in file vwap.hpp.