defg lastVolPx(price, vol, bound){
cumVol = vol.cumsum()
if(cumVol.tail() <= bound)
return wavg(price, vol)
else{
start = (cumVol <= cumVol.tail() - bound).sum()
return wavg(price.subarray(start:), vol.subarray(start:))
}
}
n = 5000000
t =table(rand(string(1..4000), n) as sym, rand(10.0, n) as price, rand(500, n) as vol)
timer select lastVolPx(price, vol, 1000) as lastVolPx from t group by sym
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