Traders Laboratory - View Single Post - Playing with the Dynamic Vwaps open research
Thread: Playing with the Dynamic Vwaps open research
View Single Post
  #6 (permalink)  
Old 11-27-2007, 04:40 PM
Sparrow's Avatar
Sparrow Sparrow is offline
Sparrow has no status.

Trader Specs
 
Join Date: May 2007
Location: Vienna/Austria
Posts: 314
Thanks: 88
Thanked 19 Times in 16 Posts
Re: Playing with the Dynamic Vwaps open research
Hi guys,

I fooled around with the VWAP, checked if it is designed like the MIDAS and can confirm it. This version is more tuned to the application with the MIDAS system, however I removed the live ticks code, it uses the median price for approximation as described in the documents.
I wrote it on NT 6.5, so no idea if it is backwards compatible.

Have fun
Attached Files
File Type: zip VWAPMod_v09.zip (3.9 KB, 44 views)

Reply With Quote
The Following User Says Thank You to Sparrow For This Useful Post:
sputnik (08-07-2008)