I want to know the meanings of the following columns more clearly: 1) average_price: Is this volume weighted average price of all trades of the day? 2) buy_quantity: Is this the sum of quantities of all buy "initiated" orders? Because every trade has buyer as well as a seller.
The ATP is streamed from the exchange and provided to clients as is. AFAIK, it is ATP=((t1.price*t1.quantity)+(t2.price*t2.quantity))/(t1.quantity+t2.quantity) This is calculated from the begining of the day till the current tick.
ATP=((t1.price*t1.quantity)+(t2.price*t2.quantity))/(t1.quantity+t2.quantity)This is calculated from the begining of the day till the current tick.