How do I calculate volume/time weighted avg price? Any pointers will help.
I read blogs on position.price and cost basis but those discussions werent conclusive.
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.
@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?
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_orderfor each executed order within single trade and then do all necessary calculations. At least I would start from there.
thank you, surely a start to code a strategy