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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(such as list or an object having `__iter__()`) of the Quote class or its sub-class. • Need help 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]

This method returns a time series of all available indicator values for the quotes provided.
VWAPResults is just a list of VWAPResult.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first period or the start will have a vwap = close value since it is the initial starting point.
vwap values before start, if specified, will be None.

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]