Retrieving historical minute-by-minute VWAP values

Is there a mechanism using the Eikon Data APIs for retrieving historical minute-by-minute VWAP values? The get_timeseries method supports retrieving data at minute intervals, but it only supports a limited set of returned fields, which does not include VWAP. Meanwhile, the get_data method allows additional fields to be requested, including VWAP, yet it does not appear to support intervals less frequent than "daily."

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Accepted answers

Alex Putkov.1

No, there isn't. You can use get_data method to return a custom VWAP for a specific time period, e.g.

ek.get_data('TRI.N','TR.VWAP',
            {'StartTime':'2019-05-20T09.30.00', 
             'EndTime':'2019-05-20T10.00.00', 'TZ':'EST'})

But it's not practical to use this method to construct intraday timeseries of VWAP.

All comments

christopher.songer

The last line above should be intervals more frequent than "daily".

Alex Putkov.1

No, there isn't. You can use get_data method to return a custom VWAP for a specific time period, e.g.

ek.get_data('TRI.N','TR.VWAP',
            {'StartTime':'2019-05-20T09.30.00', 
             'EndTime':'2019-05-20T10.00.00', 'TZ':'EST'})

But it's not practical to use this method to construct intraday timeseries of VWAP.

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