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Matlab VWAP Volume Weighted Average Price
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Matlab VWAP Volume Weighted Average Price

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Matlab VWAP Volume Weighted Average Price

I've found some examples for creating a VWAP on daily data:

Gödel's Market: MATLAB VWAP

 
Code
clear close_mat
clear volume_mat
clear vwap
clear vwap_2

vwap_length = 100;
vwap_length_2 = 500;

format long

%connect to the database
conn = database('stocks','root','***','com.mysql.jdbc.Driver','jdbc:mysql://localhost:3306/stocks');

%query the symbols in the database
str_query_close = 'SELECT close, volume FROM stock_prices_minute WHERE symbol = ''GOOG''';
close_cell = fetch(conn, str_query_close);

close_mat = cell2mat(close_cell(:,1))
volume_mat = cell2mat(close_cell(:,2));

close_times_volume = close_mat .* volume_mat;


for i = vwap_length:length(close_times_volume)
    volume_total = 0;
    volume_price_sum = 0;
    for j = 0:(vwap_length - 1)
        volume_total = volume_total + volume_mat(i-j);
        volume_price_sum = volume_price_sum + volume_mat(i-j)*close_mat(i-j);
    end
    vwap(i-(vwap_length - 1)) = volume_price_sum / volume_total;
end

for i = vwap_length_2:length(close_times_volume)
    volume_total = 0;
    volume_price_sum = 0;
    for j = 0:(vwap_length_2 - 1)
        volume_total = volume_total + volume_mat(i-j);
        volume_price_sum = volume_price_sum + volume_mat(i-j)*close_mat(i-j);
    end
    vwap_2(i-(vwap_length_2 - 1)) = volume_price_sum / volume_total;
end


x = [1:length(close_mat)];
x2 = [(vwap_length):length(close_mat)];
x3 = [(vwap_length_2):length(close_mat)];
plot(x, close_mat)
hold on
plot(x2, vwap, '-r')
hold on
plot(x3, vwap_2, '-g')
Mathworks also provides an example on their website.

Now I need to convert this to work on tick data.

Mike

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Oops, already a thread here for this it seems.

https://futures.io/matlab-r-type/7281-some-matlab-scripts-around-vwap-volume-weighted-average-price.html

@wh, do you have any comment on using this for tick data?

Mike

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