TWAP {TrueWAP} | R Documentation |
Title TWAP
Description
Calculates Time-Weighted Average Price (TWAP)
Usage
TWAP(OHLC, period)
Arguments
OHLC |
Data frame object with Open, High, Low, & Close fields |
period |
Rolling window length |
Value
Vector of TWAP values
Examples
data(nikkei)
TWAP(nikkei$OHLC, 50)
[Package TrueWAP version 0.1.0 Index]