Is it possible to retrieve typical VWAP data which shows price bins and bid,mid and ask volume va...

douglas.jansen
douglas.jansen LSEG
in Refinitiv Data Platform

...lues?

Hi -

What would be the best API to use to create a typical VWAP plot or graph? The horizontal x-axis should contain price bins where the bin size is (high-price-low price)/25 for some time interval requested, and the vertical axis shows volume split between bid, mid and ask values.

Inside of Eikon under an equity summary, and then under "Price & Charts", there is a "VWAP" tab which shows this type of VWAP data. Is it possible to reproduce the graph or plot shown using an API? Under "VWAP" there are multiple tabs labelled "Volume, VAP, Trades By Condition, Trades by Venue, Trades/VAP Charts". Is any of this data available by an API?

Thank you.

Douglas Jansen

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Best Answer

  • Gurpreet
    Gurpreet admin
    Answer ✓

    Hi @douglas.jansen,

    I am not aware of any RDP endpoint, which provides the VWAP that you are looking for. I would recommend that you contact Refinitiv helpdesk to speak with a content expert - who can guide you to available content sets.

    Such a custom VWAP would most likely have to be created by your application. You can start by getting all the raw tick data - either from from Refinitiv TickHistory or RDP:/data/historical-pricing/v1/views/events, depending on VWAP time scale, and then slice and bin the data points.

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