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VWAP - Filters

VWAP - Filters
 
 
1

Filter Mode

1. Filter Mode
Sets the filter mode for volume.
2

Filter Value

2. Filter Value
Sets the filter value reference.
3

Reconstruct

3. Reconstruct
Sets if the trades should be reconstructed when using the filter. This allows to aggregate smaller orders that were part of a larger order and thus allowing for the filter to spot larger order order that were split during their execution.