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]