Retrieving historical minute-by-minute VWAP values

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Question by christopher.songer · May 24, 2019 at 05:36 PM · get_timeseries vwap minute bar

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."

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Answer 1 · 2019-05-24T18:42:13Z

REFINITIV

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Answer by Alex Putkov. · May 24, 2019 at 06:42 PM

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.

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Answer 2 · 2019-05-24T17:38:50Z

Answer by christopher.songer · May 24, 2019 at 05:38 PM

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

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Retrieving historical minute-by-minute VWAP values

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