Time for action – calculating Volume Weighted Average Price
The following are the actions that we will take:
- Read the data into arrays.
- Calculate VWAP:
from __future__ import print_function import numpy as np c,v=np.loadtxt('data.csv', delimiter=',', usecols=(6,7), unpack=True) vwap = np.average(c, weights=v) print("VWAP =", vwap)
The output is as follows:
VWAP = 350.589549353
What just happened?
That wasn't very hard, was it? We just called the average()
function and set its weights
parameter to use the v
array for weights. By the way, NumPy also has a function to calculate the arithmetic mean. This is an unweighted average with all the weights equal to 1
.
The mean() function
The mean()
function is quite friendly and not so mean. This function calculates ...
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