TWAP Time-Weighted Average Price
Author: ajrdwv07
Creation Date: 1/25/2017 8:40 PM
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ajrdwv07

#1
TWAP is commonly used to hide buying program activity by algos. It is also a good signal for trading systems or just to build more accurate bands. Would like to know if that is included in Indicators and if that is NOT the case to build the TWAP in WL.
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Eugene

#2
It is the case to build it in WL. According to this article, the TWAP is calculated as (Open[bar] + High[bar] + Low[bar] + Close[bar]) / 4 on Second bars. But the best resolution for sampling available to you in WLP using Fidelity data is Minute scale.
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ajrdwv07

#3
Ok, understand the limitation.
Thanks.

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