Upgrade from Eikon -> Workspace. Learn about programming differences.

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

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
Nabil Edriss Sanchez1 avatar image
0 ●1 ●2 ●8

VWAP differs between API and Eikon Excel

We need to replicate Bloomberg's VWAP for VRLA.PA.

We managed to do it in Eikon Excel via the following formula:

Paste in A1:B6

=WORKDAY(TODAY(),-1)+0.1675

=WORKDAY(TODAY(),-1)+0.925

MAD

=TR(A6,"TR.VWAP","StartTime=#1 TZ=#2 EndTime=#3 CH=Fd",$B$5,$B$1,$B$3,$B$2)

Volume Weighted Average Price

VWAP VRLA.PA 30.9048597729658


However, indicating the same parameters in API the result is different


import eikon as tr

ratings_data, err = tr.get_data(instruments=['VRLA.PA'], fields=['TR.VWAP'], parameters={"Frq":"D","SDate":"2021-06-18T04:01", "EDate":"2021-06-18T22:12"})

Volume Weighted Average Price = 30.745396

eikoneikon-data-apirefinitiv-dataplatform-eikonworkspaceworkspace-data-api
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.

wasin.w avatar image   wasin.w

Hello @Nabil Edriss Sanchez1

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AH

Jirapongse avatar image   Jirapongse

@Nabil Edriss Sanchez1

Hi,

Please be informed that a reply has been verified as correct in answering the question, and marked as such.

Thanks,

AHS

2 Answers

· Write an Answer
Upvote
Accepted
chavalit-jintamalit avatar image
18.2k ●21 ●13 ●21

Hi @Nabil Edriss Sanchez1

You have to use the exact same parameters:

Since you included parameters in Excel, so I use other start-end time and timezone as an example:

ahs.jpg


ahs.jpg (103.2 KiB)
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.

Nabil Edriss Sanchez1 avatar image Nabil Edriss Sanchez1


I am absolutely grateful for your response. Without it, it would have been impossible for me to reach the solution. Millions of thanks.

jason.ramchandani01 avatar image jason.ramchandani01
@chavalit.jintamalit what is confusing here is that the Timestamp portion of the Start/EndTime is usually separated by a colon, here it is a dot. It should be consistent, I will speak to Olivier.
Upvotes
Nabil Edriss Sanchez1 avatar image
0 ●1 ●2 ●8


I am absolutely grateful for your response. Without it, it would have been impossible for me to reach the solution. Millions of thanks.

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.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

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