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OpenQuant
QA
Issues
#11
Closed
Open
Created
Aug 26, 2019
by
Jason Fan
@thinkfan
QuantBoxExecutionSimulator能否增加一个TWAP撮合算法?
郑商所日内分钟的成交金额好像是有问题的,所以VWAP撮合结果不对,TWAP有办法实现吗?是不是需要分钟Bar内的等权平均价?
Edited
Aug 26, 2019
by
Jason Fan