anchoredTWAP {TrueWAP} | R Documentation |
Title anchoredTWAP
Description
Calculates Anchored Time-Weighted Average Price (TWAP)
Usage
anchoredTWAP(OHLC, period)
Arguments
OHLC |
Data frame object with Open, High, Low, & Close fields |
period |
Vector of bars since start of fixed period |
Value
Vector of Anchored TWAP values
Examples
data(nikkei)
anchoredTWAP(
OHLC = nikkei$OHLC
, period = nikkei$bars_since_segment
)
[Package TrueWAP version 0.1.0 Index]