How do I calculate volume/time weighted avg price? Any pointers will help.

[chaitalidixit]

I read blogs on position.price and cost basis but those discussions werent conclusive.

[ab_trader]

Not really clear what are you looking for. Do you want to create VWAP indicator? Or calculate trade entry/exit VWAP? Latter is done by bt by default I think.

[chaitalidixit]

@ab_trader yes, I want to calculate entry/exit vwap. could you let me know if position.price is size-weighted average price VWAP? and how do I calculateTWAP?

[ab_trader]

@chaitalidixit

could you let me know if position.price is size-weighted average price VWAP?

I think so, I believe I've seen this discussion somewhere on the forum. Test it to be totally sure that it is what you are looking for.

and how do I calculate TWAP?

As an idea - get prices from notify_order for each executed order within single trade and then do all necessary calculations. At least I would start from there.

[chaitalidixit]

thank you, surely a start to code a strategy