Moving Averages!

[Anbell]

Hello Traders...

1. I've noticed new improvements into BA-"markers". Some of features include VWAP.. Is a lot of discussion on forum around this, but in order to use in automation VWAP, I would like to understand how this value is calculated step by step.

2. My Idea is to display on ladder similar with High/Low traded prices-markers.
On a market (for example 5 runners) the higher Price (Back Price) for runner A is given by Back prices from runners B-E in order for Back Book % to be >100%

For Lower Price (Lay Price) - Lay Book % <100%.

Thanks..I look forward for a helpful replay

If a horse has 10000 traded at 5 and 5000 traded at 4.5 for 15000 in total, then
10000/15000=.6666
5000/15000=.3333

0.666*5 + 0.333*4.5 = 4.833 =VWAP

I dont understand 2.

[ShaunWhite]

If a horse has 10000 traded at 5 and 5000 traded at 4.5 for 15000 in total, then
10000/15000=.6666
5000/15000=.3333

0.666*5 + 0.333*4.5 = 4.833 =VWAP

More usually expressed as sum(price * vol) / total vol.

So in your example VWAP = ((4.5 * 5000) +(5*10000)) / 15000. =4.833

The other small caviat is that it's the vol traded between T1 and T2 rather than just the volume traded.

[Anbell]

If a horse has 10000 traded at 5 and 5000 traded at 4.5 for 15000 in total, then
10000/15000=.6666
5000/15000=.3333

0.666*5 + 0.333*4.5 = 4.833 =VWAP

More usually expressed as sum(price * vol) / total vol.

So in your example VWAP = ((4.5 * 5000) +(5*10000)) / 15000. =4.833

The other small caviat is that it's the vol traded between T1 and T2 rather than just the volume traded.

Cheers.

I'm not sure about the time element. I had assumed it was all data from the "Price, Exchange Available and Traded" table, which doesnt have a time element.