TS_VWAP Function [Time Series]

VWAP stands for volume-weighted average price. TS_VWAP calculates the ratio of the value traded to the total volume traded over a particular time horizon.

VWAP is a measure of the average price of a stock over a defined trading horizon. You can use TS_VWAP as both a simple and an OLAP-style aggregate function.

Unlike the other time series functions, TS_VWAP does not call the IMSL libraries.

Syntax 1

TS_VWAP (price_expression, volume_expression)

Syntax 2

TS_VWAP (price_expression, volume_expression)

OVER (window-spec)

Note: This function is available only with RAP – The Trading Edition Enterprise. See the Time Series Guide for detailed information on this function.