stats_utils.py 文件源码

def vwap(df):
    """
    Volume-weighted average price (VWAP) is a ratio generally used by
    institutional investors and mutual funds to make buys and sells so as not
    to disturb the market prices with large orders. It is the average share
    price of a stock weighted against its trading volume within a particular
    time frame, generally one day.

    Read more: Volume Weighted Average Price - VWAP
    https://www.investopedia.com/terms/v/vwap.asp#ixzz4xt922daE

    Parameters
    ----------
    df: pd.DataFrame

    Returns
    -------

    """
    if 'close' not in df.columns or 'volume' not in df.columns:
        raise ValueError('price data must include `volume` and `close`')

    vol_sum = np.nansum(df['volume'].values)

    try:
        ret = np.nansum(df['close'].values * df['volume'].values) / vol_sum
    except ZeroDivisionError:
        ret = np.nan

    return ret