Hi,

I am getting live tick data consisting of Time, Symbol Name, Last Traded Price, Cumulative Volume (Daily).

Now how to get VWAP using 1) Custom function 2) TimeSeriesEngine 3) ReactiveStateEngine? Please Help me. Necessary code is as under.

This is stream table for getting ticks from python

t_colNames=`ts`symbol`price`vol`upd_tick
t_colTypes=`TIMESTAMP`SYMBOL`DOUBLE`DOUBLE`TIMESTAMP

This is stream table to store 1 min OHLC data

ohlc_colNames=`ts`symbol`open`high`low`close`volume`tp`last_tick`upd_1m
ohlc_colTypes=`TIMESTAMP`SYMBOL`DOUBLE`DOUBLE`DOUBLE`DOUBLE`DOUBLE`DOUBLE`TIMESTAMP`TIMESTAMP

This is 1 min OHLC TimeSeriesEngine

OHLC_sm1 = createTimeSeriesEngine(name="OHLC_sm1", windowSize=60000, step=60000, metrics=<[first(price) as open, max(price) as high, min(price) as low, last(price) as close, sum(vol) as volume, (max(price)+min(price)+last(price))/3 as tp, last(upd_tick) as last_tick, now() as upd_1m]>, dummyTable=tmp, outputTable=sm1 , timeColumn=`ts, useSystemTime=true, keyColumn=`symbol, updateTime=60000, useWindowStartTime=false);

This is the function to convert cumulative volume to volume

def calcVolume(mutable dictVolume, mutable tsAggrOHLC, msg){
t = select ts,symbol,price,vol,upd_tick from msg context by symbol limit -1
update t set prevVolume = dictVolume[symbol]
dictVolume[t.symbol] = t.vol
tsAggrOHLC.append!(t.update!("vol", <vol-prevVolume>))
}
dictVol = dict(STRING, DOUBLE)
subscribeTable(tableName="t", actionName="OHLC_sm1", offset=0, handler=calcVolume{dictVol,OHLC_sm1}, msgAsTable=true, hash=1)