How to get VWAP using DolphinDB TimeSeriesEngine or ReactiveStateEngine - time-series

Question

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 with DolphinDB? 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)

Answer 1

I recommend using ReactiveStateEngine to convert cumulative volume to volume and then connecting two engines in series. Here is an example:
tradesData = your_tick_data
//define Trade Table
x=tradesData.schema().colDefs
share streamTable(100:0, x.name, x.typeString) as Trade
//define OHLC outputTable
share streamTable(100:0, `datetime`symbol`open`high`low`close`volume`updatetime,[TIMESTAMP,SYMBOL,DOUBLE,DOUBLE,DOUBLE,DOUBLE,LONG,TIMESTAMP]) as OHLC
//1 min OHLC TimeSeriesEngine
tsAggrOHLC = createTimeSeriesAggregator(name="aggr_ohlc", windowSize=60000, step=60000, metrics=<[first(Price),max(Price),min(Price),last(Price),wavg(Price,Volume),now()]>, dummyTable=Trade, outputTable=OHLC, timeColumn=`Datetime, keyColumn=`Symbol)
//ReactiveStateEngine：convert cumulative volume to volume
rsAggrOHLC = createReactiveStateEngine(name="calc_vol", metrics=<[Datetime, Price, deltas(Volume) as Volume]>, dummyTable=Trade, outputTable=tsAggrOHLC, keyColumn=`Symbol)
//subscribe table and insert data into engines
subscribeTable(tableName="Trade", actionName="minuteOHLC2", offset=0, handler=append!{rsAggrOHLC}, msgAsTable=true)
replay(inputTables=tradesData, outputTables=Trade, dateColumn=`Datetime)
You can use user-defined functions in any of the engine's matrics.