For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
christopher.songer avatar image
7 ●4 ●2 ●3

Retrieving historical minute-by-minute VWAP values

Is there a mechanism using the Eikon Data APIs for retrieving historical minute-by-minute VWAP values? The get_timeseries method supports retrieving data at minute intervals, but it only supports a limited set of returned fields, which does not include VWAP. Meanwhile, the get_data method allows additional fields to be requested, including VWAP, yet it does not appear to support intervals less frequent than "daily."

eikoneikon-data-apipythonworkspacerefinitiv-dataplatform-eikonworkspace-data-apipricingvwap
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

2 Answers

Upvotes
Accepted
Alex Putkov.1 avatar image
39.3k ●76 ●11 ●27

No, there isn't. You can use get_data method to return a custom VWAP for a specific time period, e.g. 

ek.get_data('TRI.N','TR.VWAP',
            {'StartTime':'2019-05-20T09.30.00', 
             'EndTime':'2019-05-20T10.00.00', 'TZ':'EST'})
But it's not practical to use this method to construct intraday timeseries of VWAP.
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
christopher.songer avatar image
7 ●4 ●2 ●3

The last line above should be intervals more frequent than "daily".

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.