What is the formula to retreive daily VWAP data using Python?

mariko.kataoka
mariko.kataoka
in Eikon Data APIs

What is the formula to retreive daily VWAP data using Python? (For example for 7203.T)

Do I use eikon.get_data or eikon.get_timeseries?
Please provide me with a sample formula to retreive historical VWAP (Ex for 20days).

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Best Answer

  • pierre.faurel
    pierre.faurel
    Answer ✓

    TimeSeries provides following daily data:

    >>> ek.get_timeseries('7203.T')
    7203.T        HIGH   CLOSE     LOW    OPEN      VOLUME    COUNT
    Date
    2017-06-29  5934.0  5910.0  5886.0  5930.0   6462300.0     -1.0
    2017-06-30  5906.0  5893.0  5867.0  5896.0   7372400.0     -1.0
    2017-07-03  5996.0  5950.0  5887.0  5893.0  11484000.0     -1.0
    ...            ...     ...     ...     ...         ...      ...
    2017-10-04  6802.0  6730.0  6719.0  6800.0   6968500.0     -1.0
    2017-10-05  6805.0  6784.0  6773.0  6790.0   6378400.0     -1.0
    2017-10-06  6890.0  6889.0  6810.0  6815.0  10004000.0  10995.0
    [69 rows x 6 columns]
    >>>

    In your case, you should use get_data.

    To identify which field to request, you can search with the Data Item Browser (link available in the Eikon API Proxy window), type the RIC (ex:7203.T) then key word (ex:VWAP) :

    image

    TR.TSVWAP field seems to match with your needs :

    >>> vwap,err=ek.get_data('7203.T', ['TR.TSVWAP','TR.TSVWAP.Date'], parameters={'SDate':'20170906','EDate':'20171005'})
    >>> vwap
       Instrument       VWAP                  Date
    0      7203.T  6168.9320  2017-09-06T00:00:00Z
    1      7203.T  6235.1348  2017-09-07T00:00:00Z
    2      7203.T  6257.3599  2017-09-08T00:00:00Z
    3      7203.T  6294.5292  2017-09-11T00:00:00Z
    4      7203.T  6368.8700  2017-09-12T00:00:00Z
    5      7203.T  6410.2355  2017-09-13T00:00:00Z
    6      7203.T  6427.6915  2017-09-14T00:00:00Z
    7      7203.T  6469.6285  2017-09-15T00:00:00Z
    8      7203.T  6668.0025  2017-09-19T00:00:00Z
    9      7203.T  6701.9567  2017-09-20T00:00:00Z
    10     7203.T  6763.2350  2017-09-21T00:00:00Z
    11     7203.T  6756.1145  2017-09-22T00:00:00Z
    12     7203.T  6779.5475  2017-09-25T00:00:00Z
    13     7203.T  6810.9750  2017-09-26T00:00:00Z
    14     7203.T  6753.8888  2017-09-27T00:00:00Z
    15     7203.T  6760.6621  2017-09-28T00:00:00Z
    16     7203.T  6708.2255  2017-09-29T00:00:00Z
    17     7203.T  6691.0715  2017-10-02T00:00:00Z
    18     7203.T  6738.9075  2017-10-03T00:00:00Z
    19     7203.T  6759.8712  2017-10-04T00:00:00Z
    20     7203.T  6789.5579  2017-10-05T00:00:00Z
    >>>

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