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Username: | walter.claudius |
Member since: | 01 Dec 2023 |
Last login: | 01 Dec 2023 |
Status: | Active |
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Username: | walter.claudius |
Member since: | 01 Dec 2023 |
Last login: | 01 Dec 2023 |
Status: | Active |
Where | Created | Comments |
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Algorithms | 0 | 1 |
Forum Topics | 0 | 0 |
Jobs | 0 | 0 |
What is the meaning behind these two functions?
It seems like he is offsetting the volume with the price. But doesn't that result in an information loss, or what exactly is the intended effect?
protected double vol_weighted_price(cAlgo.API.Collections.IReadonlyList<cAlgo.API.MarketDepthEntry> mkentries)
{
double weightdiv = 0.0;
double tsum = 0.0;
for (int i = 0; i < mkentries.Count; i++)
{
var aent = mkentries[i];
tsum += (double)aent.Price * (double)aent.Volume;
weightdiv += (double)aent.Volume;
}
if (weightdiv == 0)
{
return 0;
}
else
{
return tsum / weightdiv;
}
}
protected double vol_weighted_cnt(cAlgo.API.Collections.IReadonlyList<cAlgo.API.MarketDepthEntry> mkentries)
{
double weightdiv = 0.0;
double tsum = 0.0;
for (int i = 0; i < mkentries.Count; i++)
{
var aent = mkentries[i];
tsum += (double)aent.Volume * (double)aent.Price;
weightdiv += (double)aent.Price;
}
if (weightdiv == 0)
{
return 0;
}
else
{
return tsum / weightdiv;
}
}