avg, avgs, mavg, wavg

Averages

avg

Arithmetic mean

avg x     avg[x]

Where x is a numeric or temporal list, returns the arithmetic mean as a float.

The mean of an atom is its value as a float. Null is returned if x is empty, or contains both positive and negative infinity. Where x is a vector null items are ignored.

q)avg 1 2 3
2f
q)avg 1 0n 2 3       / vector: null items are ignored
2f
q)avg (1 2;0N 4)     / nested: null items are preserved
0n 3
q)avg 1.0 0w
0w
q)avg -0w 0w
0n
q)avg 101b
0.6666667
q)avg 1b
1f
q)\l trade.q
q)show select ap:avg price by sym from trade
sym| ap
---| -----
a  | 10.75

avg is an aggregate function, equivalent to {sum[x]%count x}.

domain: b g x h i j e f c s p m d z n u v t
range:  f . f f f f f f f . f f f f f f f f

avgs

Running averages

avgs x     avgs[x]

Where x is a numeric or temporal list, returns the running averages, i.e. applies function avg to successive prefixes of x.

q)avgs 1 2 3 0n 4 -0w 0w
1 1.5 2 2 2.5 -0w 0n

avgs is a uniform function, equivalent to (avg\).

domain: b g x h i j e f c s p m d z n u v t
range:  f . f f f f f f . . f f f f f f f f

mavg

Moving averages

x mavg y     mavg[x;y]

Where

• x is a positive int atom (not infinite)
• y is a numeric list

returns the x-item simple moving averages of y, with any nulls after the first item replaced by zero. The first x items of the result are the averages of the terms so far, and thereafter the result is the moving average. The result is floating point.

q)2 mavg 1 2 3 5 7 10
1 1.5 2.5 4 6 8.5
q)5 mavg 1 2 3 5 7 10
1 1.5 2 2.75 3.6 5.4
q)5 mavg 0N 2 0N 5 7 0N    / nulls after the first are replaced by 0
0n 2 2 3.5 4.666667 4.666667
q)0 mavg 2 3
0n 0n

mavg is a uniform function. Domain and range:

    b g x h i j e f c s p m d z n u v t
----------------------------------------
b | f . f f f f f f . . f f f f f f f f
g | . . . . . . . . . . . . . . . . . .
x | f . f f f f f f . . f f f f f f f f
h | f . f f f f f f . . f f f f f f f f
i | f . f f f f f f . . f f f f f f f f
j | f . f f f f f f . . f f f f f f f f
e | . . . . . . . . . . . . . . . . . .
f | . . . . . . . . . . . . . . . . . .
c | . . . . . . . . . . . . . . . . . .
s | . . . . . . . . . . . . . . . . . .
p | . . . . . . . . . . . . . . . . . .
m | . . . . . . . . . . . . . . . . . .
d | . . . . . . . . . . . . . . . . . .
z | . . . . . . . . . . . . . . . . . .
n | . . . . . . . . . . . . . . . . . .
u | . . . . . . . . . . . . . . . . . .
v | . . . . . . . . . . . . . . . . . .
t | . . . . . . . . . . . . . . . . . .

Range: f

wavg

Weighted average

x wavg y     wavg[x;y]

Where

• x is a numeric list
• y is a numeric list

returns the average of numeric list y weighted by numeric list x. The result is a float atom.

q)2 3 4 wavg 1 2 4
2.666667
q)2 0N 4 5 wavg 1 2 0N 8  / nulls in either argument ignored
6f
q)0 wavg 2 3
0n                        / since 4.1t 2021.09.03,4.0 2021.10.01, previously returned 2.5

Where x and y conform, the result has an atom for each sublist.

q)(1 2;3 4) wavg (500 400; 300 200)
350 266.6667

The financial analytic known as VWAP (volume-weighted average price) is a weighted average.

q)select size wavg price by sym from trade
sym| price
---| -----
a  | 10.75

wavg is an aggregate function, equivalent to {(sum x*y)%sum x}. Domain and range:

    b g x h i j e f c s p m d z n u v t
----------------------------------------
b | f . f f f f f f f . f f f f f f f f
g | . . . . . . . . . . . . . . . . . .
x | f . f f f f f f f . f f f f f f f f
h | f . f f f f f f f . f f f f f f f f
i | f . f f f f f f f . f f f f f f f f
j | f . f f f f f f f . f f f f f f f f
e | f . f f f f f f f . f f f f f f f f
f | f . f f f f f f f . f f f f f f f f
c | f . f f f f f f f . f f f f f f f f
s | . . . . . . . . . . . . . . . . . .
p | f . f f f f f f f . f f f f f f f f
m | f . f f f f f f f . f f f f f f f f
d | f . f f f f f f f . f f f f f f f f
z | f . f f f f f f f . f f f f f f f f
n | f . f f f f f f f . f f f f f f f f
u | f . f f f f f f f . f f f f f f f f
v | f . f f f f f f f . f f f f f f f f
t | f . f f f f f f f . f f f f f f f f

Range: f

Implicit iteration

avg, avgs, and mavg apply to dictionaries and tables. wavg applies to dictionaries.

q)k:`k xkey update k:`abc`def`ghi from t:flip d:`a`b!(10 21 3;4 5 6)

q)avg d
7 13 4.5
q)avg t
a| 11.33333
b| 5
q)avg k
a| 11.33333
b| 5

q)avgs t
a        b
------------
10       4
15.5     4.5
11.33333 5

q)2 mavg k
k  | a    b
---| --------
abc| 10   4
def| 15.5 4.5
ghi| 12   5.5

q)1 2 wavg d
6 10.33333 5

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Mathematics
Weighted average mean
Volume-weighted average price (VWAP)