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Volume Weighted Average Price (VWAP) Algorithm

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11 Jan 20063 min read 137.8K   1.9K   76  
Calculates Volume Weighted Average Price for Financial Time series.
 
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        SchemaVersion = "2.0"
        ProjectGuid = "{5F310854-22B1-40BE-AF35-22FDCA34F3EE}"
    >
        <Build>
            <Settings
                ApplicationIcon = "App.ico"
                AssemblyKeyContainerName = ""
                AssemblyName = "TestVWAP"
                AssemblyOriginatorKeyFile = ""
                DefaultClientScript = "JScript"
                DefaultHTMLPageLayout = "Grid"
                DefaultTargetSchema = "IE50"
                DelaySign = "false"
                OutputType = "WinExe"
                PreBuildEvent = ""
                PostBuildEvent = ""
                RootNamespace = "TestVWAP"
                RunPostBuildEvent = "OnBuildSuccess"
                StartupObject = ""
            >
                <Config
                    Name = "Debug"
                    AllowUnsafeBlocks = "false"
                    BaseAddress = "285212672"
                    CheckForOverflowUnderflow = "false"
                    ConfigurationOverrideFile = ""
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                    WarningLevel = "4"
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                    NoWarn = ""
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                    RegisterForComInterop = "false"
                    RemoveIntegerChecks = "false"
                    TreatWarningsAsErrors = "false"
                    WarningLevel = "4"
                />
            </Settings>
            <References>
                <Reference
                    Name = "System"
                    AssemblyName = "System"
                    HintPath = "D:\WINDOWS\Microsoft.NET\Framework\v1.1.4322\System.dll"
                />
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                    Name = "System.Data"
                    AssemblyName = "System.Data"
                    HintPath = "D:\WINDOWS\Microsoft.NET\Framework\v1.1.4322\System.Data.dll"
                />
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                    Name = "System.Drawing"
                    AssemblyName = "System.Drawing"
                    HintPath = "D:\WINDOWS\Microsoft.NET\Framework\v1.1.4322\System.Drawing.dll"
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                    Name = "System.Windows.Forms"
                    AssemblyName = "System.Windows.Forms"
                    HintPath = "D:\WINDOWS\Microsoft.NET\Framework\v1.1.4322\System.Windows.Forms.dll"
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                    Name = "System.XML"
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                    Name = "stdole"
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                    VersionMajor = "2"
                    VersionMinor = "0"
                    Lcid = "0"
                    WrapperTool = "primary"
                />
                <Reference
                    Name = "STOCKCHARTXLib"
                    Guid = "{6556E667-F828-4D0E-AF3E-C0FC768796CC}"
                    VersionMajor = "5"
                    VersionMinor = "1"
                    Lcid = "0"
                    WrapperTool = "tlbimp"
                />
                <Reference
                    Name = "AxSTOCKCHARTXLib"
                    Guid = "{6556E667-F828-4D0E-AF3E-C0FC768796CC}"
                    VersionMajor = "5"
                    VersionMinor = "1"
                    Lcid = "0"
                    WrapperTool = "aximp"
                />
                <Reference
                    Name = "VWAP"
                    Project = "{E1272168-0608-41CB-B65F-CA677D48566B}"
                    Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
                />
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                />
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                    RelPath = "CVSReader.cs"
                    SubType = "Code"
                    BuildAction = "Compile"
                />
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                    RelPath = "frmTestVWAP.cs"
                    SubType = "Form"
                    BuildAction = "Compile"
                />
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                    RelPath = "frmTestVWAP.resx"
                    DependentUpon = "frmTestVWAP.cs"
                    BuildAction = "EmbeddedResource"
                />
                <File
                    RelPath = "README.txt"
                    BuildAction = "Content"
                />
                <File
                    RelPath = "vwap1.gif"
                    BuildAction = "Content"
                />
            </Include>
        </Files>
    </CSHARP>
</VisualStudioProject>

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Written By
AndrewPeters
Web Developer
United States United States
Andrew Peters is a systems developer interested in non-trivial trading systems and financial systems architecture. He is currently focused on realtime, high performance multi-threaded applications running on the server and the desktop.

After a 4 year stint in China learning Mandarin and Tibetan, Andrew returned to the US to learn more about enterprise development and financial markets. While in China, he translated meetings between demure Communist officials and angry American businessmen, served coffee and fetid tofu in his 'BaiSuiFang' Coffee Shop, started Fabrefactum Software and was generally laughed at for his stupid jokes in Chinese.

He currently helps the pricing/analytics team hack on code at Chatham Financial, an interest rate and foreign exchange derivative consulting company.

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Posted 4 Jan 2006

Article Copyright 2006 by AndrewPeters
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