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Quantitative Finance · शब्दावली

Bar, time bar, tick bar, volume bar, dollar bar, VWAP क्या है?

अन्य नाम: bar · time bar · tick bar · volume bar · dollar bar · volume-weighted average price

Definition 2.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · अध्याय 2 — Market Data for Research

A bar summarises a run of consecutive trades by its open, high, low and close prices, its volume, its traded value and its number of trades. A time bar covers a fixed interval of wall-clock time; a tick bar a fixed number of trades; a volume bar closes on the trade at which its cumulative volume reaches a threshold, and a dollar bar on the trade at which its cumulative traded value does. The volume-weighted average price (VWAP) of a set of trades is ∑ipiqi/∑iqi\sum_i p_iq_i/\sum_i q_i.

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