Volume Weighted Average Price (VWAP)

get_vwap(quotes, start=None)

get_vwap(quotes, year, month=1, day=1, hour=0, minute=0)

Parameters

name type notes
quotes Iterable[Quote] Iterable of the Quote class or its sub-class.
See here for usage with pandas.DataFrame
start datetime, Optional The anchor date used to start the VWAP accumulation. The earliest date in quotes is used when not provided.
year, month, day, hour, minute int, Optional The anchor date used to start the VWAP accumulation. The earliest date in quotes is used when not provided.

Historical quotes requirements

You must have at least one historical quote to calculate; however, more is often needed to be useful. Historical quotes are typically provided for a single day using minute-based intraday periods. Since this is an accumulated weighted average price, different start dates will produce different results. The accumulation starts at the first period in the provided quotes, unless it is specified in the optional start parameter.

quotes is an Iterable[Quote] collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Return

VWAPResults[VWAPResult]

VWAPResult

name type notes
date datetime Date
vwap float, Optional Volume Weighted Average Price

Utilities

See Utilities and Helpers for more information.

Example

from stock_indicators import indicators

# This method is NOT a part of the library.
quotes = get_history_from_feed("SPY")

# Calculate
results = indicators.get_vwap(quotes);

About Volume Weighted Average Price (VWAP)

The Volume Weighted Average Price is a Volume weighted average of Close price, typically used on intraday data. [Discuss] 💬

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