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Easy · architecture & logic · Quant Developer interview question · math, data stream, c++
Volume-Weighted Average Price (VWAP) is a crucial trading benchmark used by institutional investors to assess the quality of their trade executions. It represents the average price a security has traded at throughout the day, calculated by dividing the cumulative dollar volume by the cumulative trading volume. Maintaining a running VWAP is essential in algorithmic trading systems for real-time performance evaluation and execution logic. Task Implement a VWAPCalculator class that processes a str