VWAP()

Aggregate. The VWAP function computes a volume-weighted average price for an instrument.

Syntax

VWAP ( price_expression, volume_expression )

Parameters
price_expression	a numeric expression containing a price to be incorporated into a volume-weighted average.
volume_expression	a numeric expression containing a volume to be used in calculating a volume-weighted average.

VWAP is a trading acronym for Volume-Weighted Average Price, the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price a stock traded at over the trading horizon.

VWAP can be measured between any two points in time but is displayed as the one corresponding to elapsed time during the trading day by the information provider.

VWAP is often used in algorithmic trading. The VWAP is calculated using the following formula:

where:

PVWAP = Volume Weighted Average Price

Pj = price of trade j

Qj = quantity of trade

j = each individual trade that takes place over the defined period of time, excluding cross trades and basket cross trades.

Sybase extension.

The following example demonstrates how the VWAP function is used to calculate volume weighted averages for data in a CSV file,

where:

id = company trade symbol

x = stock price

y = volume traded

-- create input stream schema
CREATE SCHEMA InSchema (
    id STRING,
    x FLOAT,
    y FLOAT
);

-- create output stream schema
CREATE SCHEMA OutSchema (
    id STRING,
    x FLOAT,
    y FLOAT,
    vwap_result FLOAT
);

-- create input stream
CREATE INPUT STREAM StreamIn
SCHEMA InSchema;

-- create master window
CREATE MASTER WINDOW ResultWindow
SCHEMA OutSchema
KEEP 5 ROWS
;

-- create output stream
CREATE OUTPUT STREAM StreamOut
SCHEMA OutSchema;

-- input stream read data from csv file by ReadFromCsvFileAdapterType adapter
ATTACH INPUT ADAPTER ReadFromCSVFile TYPE ReadFromCsvFileAdapterType
TO STREAM StreamIn
PROPERTIES
    FILENAME            = "$ProjectFolder\..\data\data.csv",
    TITLEROW            = "false",
    TIMESTAMPCOLUMN     = "false",
    RATE                = "1",
    USECURRENTTIMESTAMP = "true"
;

-- output stream write data to csv file by WriteToCsvFileAdapterType adapter
ATTACH OUTPUT ADAPTER WriteToCSVFile TYPE WriteToCsvFileAdapterType
TO STREAM StreamOut
PROPERTIES
    FILENAME = "$ProjectFolder\..\data\result.csv"
;

-- insert the calculated result to window
INSERT INTO ResultWindow
SELECT id,x,y,
vwap(y,1) 
FROM StreamIn
KEEP 5 ROWS;

INSERT INTO StreamOut
SELECT *
FROM ResultWindow;

Sample result:

Timestamp	id	x	y	vwap_result
...	...	...	...	...
1.25922E+15	IBM	75.15	9800	9800
1.25922E+15	SWY	21.7	400	5100
1.25922E+15	MW	37.08	200	3466.666667
...	...	...	...	...