QuantConnect Lean Algorithmic Trading Engine
VolumeWeightedAveragePrice Field
The VWAP for a stock is calculated by adding the dollars traded for every transaction in that stock ("price" x "number of shares traded") and dividing the total shares traded. By default, a VWAP order is computed from the open of the market to the market close, and is calculated by volume weighting all transactions during this time period. TWS allows you to modify the cut-off and expiration times using the Time in Force and Expiration Date fields, respectively. Stocks
Syntax
public const string VolumeWeightedAveragePrice
Requirements

Target Platforms: Microsoft .NET 4.5 or Mono 3.10 or above.

See Also