Excel VWAP function

zhang.qin
zhang.qin Newcomer
in Eikon Data APIs
Hi, just wondering if you could give an example of the vwap calculation in excel. I just want to calculate for example the vwap of the VIX index for a 10 minute period during the day.
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  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    @zhang.qin

    I'm not sure I understand what VWAP is in the context of VIX or any other stock index, as stock indices are not traded on an exchange. There's no trade price and no trade volume associated with an index value.
    For stocks you can retrieve VWAP calculated by Refinitiv between two points in time using TR.VWAP field in =TR function in Eikon Excel, e.g.

    =TR("IBM.N","TR.VWAP","StartTime=2020-12-07T10.00.00 EndTime=2020-12-07T10.10.00")

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