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question

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retrieve interval vwap

Hi There,


Is there a way to retrieve interval vwap using datascope select API? For example. the vwap price for IBM between 1/25/2022 09:30:00 and 1/25/2022 10:00:00. I am using python to retrieving data.


Thank you.

dssvwap
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1 Answer

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@Liang Ge

I couldn't find the request to retrieve interval VWAP in the Datascope Select API.

However, I can get the "Trade - Market VWAP" with the

TickHistoryTimeAndSalesExtractionRequest in the Tick History API.

The output looks like this:

1643170674151.png

However, you need to contact the Refinitiv DataScope Select support team directly via MyRefinitiv to confirm it.


1643170674151.png (36.0 KiB)
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Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Thanks very much for that information.