c_daily_traded_value#

c_daily_traded_value(m_vwap, m_volume, m_vwap_split_adjusted, m_volume_split_adjusted, m_vwap_dividend_and_split_adjusted, m_volume_dividend_and_split_adjusted)[source]

Calculate the daily intraday traded value using the given VWAP and volume.

First try to use the unadjusted VWAP and volume, then fall back to the split-adjusted VWAP and volume, and finally to the dividend-and-split-adjusted VWAP and volume if the previous values were not available from the data provider.

We can use the unadjusted and adjusted data sets interchangeably because the product of the VWAP and volume should be invariant if the adjustments were calculated correctly by the data provider.

Parameters:

  • m_vwap (DataColumn) – The VWAP of the market.

  • m_volume (DataColumn) – The volume of the market.

  • m_vwap_split_adjusted (DataColumn) – The split-adjusted VWAP.

  • m_volume_split_adjusted (DataColumn) – The split-adjusted volume.

  • m_vwap_dividend_and_split_adjusted (DataColumn) – The dividend and split-adjusted VWAP.

  • m_volume_dividend_and_split_adjusted (DataColumn) – The dividend and split-adjusted volume.

Returns:

The average daily traded value.

Return type:

DataColumn

Notes

The average daily traded value is calculated as:

\[\mathrm{Average\ Daily\ Traded\ Value} = \mathrm{VWAP} \times \mathrm{Volume}\]

In Excel, assuming VWAP values are in column A (starting at cell A2) and volume values are in column B (starting at cell B2):

  1. In cell C2, enter:

    =A2*B2

  2. Drag the formula down to apply it to the remaining rows.