Stream TWAP
Streams the real-time Time-Weighted Average Price (TWAP) for stocks and ETFs. TWAP is the average price over time, giving equal weight to each time period regardless of volume.
Supported Symbol Formats
| Type | Format | Example |
|---|---|---|
| US Stocks | SYMBOL | AAPL, MSFT |
| ETFs | SYMBOL | SPY, QQQ |
Notes
- Data streams automatically update in Excel
- TWAP resets at market open each day
- Used by institutional traders as a benchmark
Examples
=QM_Stream_Twap("AAPL")=QM_Stream_Twap("MSFT")=QM_Stream_Twap("SPY")=QM_Stream_Twap(A1)=QM_Stream_Last("AAPL")-QM_Stream_Twap("AAPL")When to Use
- Algorithmic trading benchmarks
- Execution quality analysis
- Comparing to VWAP
- Time-based trading strategies
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Need volume-weighted average | QM_Stream_Vwap() |
| Need current price | QM_Stream_Last() |
| Need historical price | Close_Historical() |
| Need open price | QM_Stream_Open() |
Common Issues & FAQ
Q: What's the difference between TWAP and VWAP? A: TWAP weights each time period equally; VWAP weights by volume. VWAP is more commonly used.
Q: When is TWAP more useful than VWAP? A: TWAP is preferred when you want to minimize market timing risk regardless of volume patterns.
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