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
Syntax
=QM_Stream_Twap(Symbol)Returns
number
Time-weighted average price for the session
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
What's the difference between TWAP and VWAP?
TWAP weights each time period equally; VWAP weights by volume. VWAP is more commonly used.
When is TWAP more useful than VWAP?
TWAP is preferred when you want to minimize market timing risk regardless of volume patterns.
Related Formulas
More MarketXLS Price Quotes (Streaming) formulas you can use in the same worksheet:
- Stream Vega
- Stream Volume
- Stream Volume
- Stream Vwap
- QM Stream
- Qm Stream Ask Implied Volatility
- Qm Stream Bid Implied Volatility
- Qm Stream Currency Id
See QM_Stream_Twap used in a complete workbook: How to Insert Stock Price in Excel for Real-Time Quotes
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