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Chris.Iemma avatar image
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Is there a method to retrieve historical minute by minute VWAP data?

I am using the RD Library and have tried using historical pricing summaries/ events as well as rd_get history. When using the "tick" interval, I am able to retrieve VWAP data. I see a post from 2019 stating this is not possible but I wanted to see if this has been updated. I am using the RIC "FLNT.O", I have noticed I get much fuller datasets when using "AAPL.O" or "LSEG.L" (I assume liquidity/Pink sheet RIC is the cause) Thank you in advance.

#contenthistoricalrefinitiv-data-libraries
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Jirapongse avatar image   Jirapongse

@Chris.Iemma

Hi,

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AHS

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nick.zincone avatar image
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Hi @Chris.Iemma

After checking the RDP Playground, I don't see the VWAP available for minute bars

1714001727791.png

It's probably best to follow up with the content team to see if there are any plans to include this measure. Feel free to open a content ticket for this specific service.


1714001727791.png (150.8 KiB)
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Chris.Iemma avatar image Chris.Iemma
Thanks Nick, this is helpful.

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