Hi all,

I've been looking high and low for the formula used for calculating a Volume Weighted Moving Average however I am unable to find a definitive answer. Everywhere just seems to be skipping around the subject without actually providing a real concrete mathematical or logical explanation for it.

So please, someone, share with me the formula because I really like to know!

Also, I am watching @YMU11 and I am receiving the real time data stream and can see all the ticks coming through (I'm looking at Level1SocketForm example in the IQFeed 4.8BETA release of the API C#). And so I am getting all of this data as described here http://www.iqfeed.net/dev/api/docsBeta/UpdateSummaryMessageFormat.cfm

My question is, from this, if I am grouping by a time basis, how does one calculate volume? Do I take every single update into consideration or just one specific type as defined by update type column 18 ?

Sorry for the noob questions ! And I humbly appreciate your answers.

Many thanks

David