1.1 - 8.10 - VWAP (ML Engine) - Teradata Vantage

Teradata Vantage™ - Machine Learning Engine Analytic Function Reference

Product
Teradata Vantage
Release Number
1.1
8.10
Release Date
October 2019
Content Type
Programming Reference
Publication ID
B700-4003-079K
Language
English (United States)

The VWAP function computes the volume-weighted average price of a traded item (usually an equity share) for each time interval in a series of equal-length time intervals.

Where sum applies to the current time interval:

VWAP = sum(volume*price)/sum(volume)