Added vwat info to the features.db.

aggregator.go

@@ -92,10 +92,10 @@ func (a *Aggregator) flushBucket() {
 
 	_, err := a.featDB.Exec(`
 		INSERT OR IGNORE INTO five_second_features 
-		(timestamp, log_return, realized_vol, ofi, volume_sum, close_price)
-		VALUES (?, ?, ?, ?, ?, ?)
+		(timestamp, log_return, realized_vol, ofi, volume_sum, close_price, vwap)
+		VALUES (?, ?, ?, ?, ?, ?, ?)
 	`, bucket.Timestamp, bucket.LogReturn, bucket.RealizedVol,
-		bucket.OFI, bucket.VolumeSum, bucket.ClosePrice)
+		bucket.OFI, bucket.VolumeSum, bucket.ClosePrice, bucket.VWAP)
 
 	if err != nil {
 		log.Printf("[aggregator] Failed to write feature bucket: %v", err)
@@ -118,10 +118,12 @@ func (a *Aggregator) computeFeatures(ticks []Tick) FeatureBucket {
 	}
 	logReturn := math.Log(closePrice / refPrice)
 
-	// Order Flow Imbalance (OFI) and total volume
+	// Order Flow Imbalance (OFI), total volume, and sum of price * volume
 	var buyVol, sellVol, volumeSum float64
+	var priceVolumeSum float64
 	for _, t := range ticks {
 		volumeSum += t.Volume
+		priceVolumeSum += t.Price * t.Volume
 		if t.Side == "Buy" {
 			buyVol += t.Volume
 		} else {
@@ -130,6 +132,11 @@ func (a *Aggregator) computeFeatures(ticks []Tick) FeatureBucket {
 	}
 	ofi := buyVol - sellVol
 
+	vwap := closePrice
+	if volumeSum > 0 {
+		vwap = priceVolumeSum / volumeSum
+	}
+
 	// Realized volatility: standard deviation of tick-to-tick log returns
 	realizedVol := 0.0
 	if n > 1 {
@@ -164,5 +171,6 @@ func (a *Aggregator) computeFeatures(ticks []Tick) FeatureBucket {
 		OFI:         ofi,
 		VolumeSum:   volumeSum,
 		ClosePrice:  closePrice,
+		VWAP:        vwap,
 	}
 }