Formula
VWAP is calculated using the following formula:
where:
- = Volume Weighted Average Price
- = price of trade j
- = quantity of trade j
- = each individual trade that takes place over the defined period of time, excluding cross trades and basket cross trades.
Read more about this topic: Volume-weighted Average Price
Famous quotes containing the word formula:
“Every formula which expresses a law of nature is a hymn of praise to God.”
—Maria Mitchell (1818–1889)
“Ideals possess the strange quality that if they were completely realized they would turn into nonsense. One could easily follow a commandment such as “Thou shalt not kill” to the point of dying of starvation; and I might establish the formula that for the proper functioning of the mesh of our ideals, as in the case of a strainer, the holes are just as important as the mesh.”
—Robert Musil (1880–1942)
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—Thomas Mann (18751955)