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VWAP Example – Volume Weighted Average Price - Kdb+ / qStudio

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  • April 25, 2013 at 3:02 pm #268

    Camlin
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    Hi,

    Has anyone written or know where to find a library of finance functions for kdb?

    e.g. Calculating correlations? or even just VWAP? TWAP? for typical TAQ data?

    Thanks.

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