Is it possible to retrieve typical VWAP data which shows price bins and bid,mid and ask volume value
Hi -
What would be the best API to use to create a typical VWAP plot or graph? The horizontal x-axis should contain price bins where the bin size is (high-price-low price)/25 for some time interval requested, and the vertical axis shows volume split between bid, mid and ask values.
Inside of Eikon under an equity summary, and then under "Price & Charts", there is a "VWAP" tab which shows this type of VWAP data. Is it possible to reproduce the graph or plot shown using an API? Under "VWAP" there are multiple tabs labelled "Volume, VAP, Trades By Condition, Trades by Venue, Trades/VAP Charts". Is any of this data available by an API?
Thank you.
Douglas Jansen
Best Answer
-
Hi @douglas.jansen,
I am not aware of any RDP endpoint, which provides the VWAP that you are looking for. I would recommend that you contact Refinitiv helpdesk to speak with a content expert - who can guide you to available content sets.
Such a custom VWAP would most likely have to be created by your application. You can start by getting all the raw tick data - either from from Refinitiv TickHistory or RDP:/data/historical-pricing/v1/views/events, depending on VWAP time scale, and then slice and bin the data points.
0
Categories
- All Categories
- 6 AHS
- 39 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 367 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 60 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛