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
Best Answer
-
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:
1
Answers
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I am absolutely grateful for your response. Without it, it would have been impossible for me to reach the solution. Millions of thanks.
0 -
I am absolutely grateful for your response. Without it, it would have been impossible for me to reach the solution. Millions of thanks.0 -
@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.0
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