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Both are for aggregating tick data, but they have very different uses. OHLC is generally for visualizing price movements, while VWAP is often a target price in an algo order. That is, an asset manager may wish to get filled at the VWAP by submitting an order to an algorithmic execution service. The asset manager will then see OHLC bars on his screen ...


3

As you correctly pointed out volume has no place in the pricing models of most any option(Unless of course you create an option whose underlying or is volume in some way or if volume is used as some sort of barrier). The reason is simple: The contingent payoff and hence the probability of ending up in the money is not a function of volume. Why the market ...


2

You are comparing apples and oranges here. OHLC is a concept of representing compressed data, the 4 data points representing the beginning, end, and extremes prices (or any other metric) traversed in between a specific time frame. VWAP is a concept of expressing price in combination with traded volume. It has nothing to do with time compression. In fact ...


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Have you checked out www.quantopian.com? They host minute-bar OHLCV data for US equities starting in Jan 2002 and updated nightly. You can't download the data wholesale but you can backtest and paper trade for free using their Python IDE. There's also a pre-canned VWAP() API call that you can use to roll your own custom VWAP. Full disclosure, I work for ...



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