TrueWAP (version 0.1.0)

anchoredTWAP: Title anchoredTWAP

Description

Calculates Anchored Time-Weighted Average Price (TWAP)

Usage

anchoredTWAP(OHLC, period)

Value

Vector of Anchored TWAP values

Arguments

OHLC

Data frame object with Open, High, Low, & Close fields

period

Vector of bars since start of fixed period

Examples

data(nikkei)
anchoredTWAP(
OHLC = nikkei$OHLC
, period = nikkei$bars_since_segment
)