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What is the formula to retreive daily VWAP data using Python?

What is the formula to retreive daily VWAP data using Python? (For example for 7203.T)

Do I use eikon.get_data or eikon.get_timeseries?
Please provide me with a sample formula to retreive historical VWAP (Ex for 20days).

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1 Answer

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TimeSeries provides following daily data:

>>> ek.get_timeseries('7203.T')
7203.T        HIGH   CLOSE     LOW    OPEN      VOLUME    COUNT
Date
2017-06-29  5934.0  5910.0  5886.0  5930.0   6462300.0     -1.0
2017-06-30  5906.0  5893.0  5867.0  5896.0   7372400.0     -1.0
2017-07-03  5996.0  5950.0  5887.0  5893.0  11484000.0     -1.0
...            ...     ...     ...     ...         ...      ...
2017-10-04  6802.0  6730.0  6719.0  6800.0   6968500.0     -1.0
2017-10-05  6805.0  6784.0  6773.0  6790.0   6378400.0     -1.0
2017-10-06  6890.0  6889.0  6810.0  6815.0  10004000.0  10995.0
[69 rows x 6 columns]
>>>

In your case, you should use get_data.

To identify which field to request, you can search with the Data Item Browser (link available in the Eikon API Proxy window), type the RIC (ex:7203.T) then key word (ex:VWAP) :

TR.TSVWAP field seems to match with your needs :

>>> vwap,err=ek.get_data('7203.T', ['TR.TSVWAP','TR.TSVWAP.Date'], parameters={'SDate':'20170906','EDate':'20171005'})
>>> vwap
   Instrument       VWAP                  Date
0      7203.T  6168.9320  2017-09-06T00:00:00Z
1      7203.T  6235.1348  2017-09-07T00:00:00Z
2      7203.T  6257.3599  2017-09-08T00:00:00Z
3      7203.T  6294.5292  2017-09-11T00:00:00Z
4      7203.T  6368.8700  2017-09-12T00:00:00Z
5      7203.T  6410.2355  2017-09-13T00:00:00Z
6      7203.T  6427.6915  2017-09-14T00:00:00Z
7      7203.T  6469.6285  2017-09-15T00:00:00Z
8      7203.T  6668.0025  2017-09-19T00:00:00Z
9      7203.T  6701.9567  2017-09-20T00:00:00Z
10     7203.T  6763.2350  2017-09-21T00:00:00Z
11     7203.T  6756.1145  2017-09-22T00:00:00Z
12     7203.T  6779.5475  2017-09-25T00:00:00Z
13     7203.T  6810.9750  2017-09-26T00:00:00Z
14     7203.T  6753.8888  2017-09-27T00:00:00Z
15     7203.T  6760.6621  2017-09-28T00:00:00Z
16     7203.T  6708.2255  2017-09-29T00:00:00Z
17     7203.T  6691.0715  2017-10-02T00:00:00Z
18     7203.T  6738.9075  2017-10-03T00:00:00Z
19     7203.T  6759.8712  2017-10-04T00:00:00Z
20     7203.T  6789.5579  2017-10-05T00:00:00Z
>>>

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