mlfinlab.microstructural_features.misc

Various miscellaneous microstructural features (VWAP, average tick size).

Module Contents

Functions

vwap(→ float)	Get Volume Weighted Average Price (VWAP).
get_avg_tick_size(→ float)	Get average tick size in a bar.

vwap(dollar_volume: list, volume: list) → float

Get Volume Weighted Average Price (VWAP).

Parameters:

• dollar_volume – (list) Dollar volumes.

• volume – (list) Trades sizes.

Returns:

(float) VWAP value.

get_avg_tick_size(tick_size_arr: list) → float

Get average tick size in a bar.

Parameters:

tick_size_arr – (list) Trade sizes.

Returns:

(float) Average trade size.