Custom VWAP support

Hi team,

I asked about VWAP and Interval VWAP with a start and end date available (https://community.developers.refinitiv.com/questions/48832/vwap-and-interval-vwap-support.html ) which can be obtained from the History Api (TRTH or Elektron Data Platform).

Now my question is, is there a streaming service available with Elektron, where I provide a custom start date time (with the same exchange current trading date) and get VWAP streaming from that time. for e.g if the market starts from 9:30 am then get me(stream) VWAP started with 10:00 am which means ignore all trades in calculation of VWAP from 9:30 - 10 am.

Thank you,

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Accepted answers

Gurpreet

Hi @bansalshah There is no such streaming service available. Your application will have to subscribe to streaming market data and do its own VWAP calculations.

All comments

Gurpreet

Hi @bansalshah There is no such streaming service available. Your application will have to subscribe to streaming market data and do its own VWAP calculations.

bansalshah

Thanks @Gurpreet for the response. Just a follow up question is there any mechanism to lets say override a field and get the affected list of fields (or sub list of fields affected) ?

umer.nalla

Hi @bansalshah,

IF by override you mean filter out / omit unwanted fields from the payload responses - you can use the Views functionality as described in this Tutorial step to request only those fields you are interested in.

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