VWAP differs between API and Eikon Excel

We need to replicate Bloomberg's VWAP for VRLA.PA.

We managed to do it in Eikon Excel via the following formula:

Paste in A1:B6

=WORKDAY(TODAY(),-1)+0.1675

=WORKDAY(TODAY(),-1)+0.925

MAD

=TR(A6,"TR.VWAP","StartTime=#1 TZ=#2 EndTime=#3 CH=Fd",$B$5,$B$1,$B$3,$B$2)

Volume Weighted Average Price

VWAP VRLA.PA 30.9048597729658


However, indicating the same parameters in API the result is different


import eikon as tr

ratings_data, err = tr.get_data(instruments=['VRLA.PA'], fields=['TR.VWAP'], parameters={"Frq":"D","SDate":"2021-06-18T04:01", "EDate":"2021-06-18T22:12"})

Volume Weighted Average Price = 30.745396

Best Answer

Answers