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Nabil Edriss Sanchez1 avatar image
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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

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2 Answers

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chavalit-jintamalit avatar image
18k ●21 ●12 ●20

Hi @Nabil Edriss Sanchez1

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:

ahs.jpg


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Nabil Edriss Sanchez1 avatar image Nabil Edriss Sanchez1


I am absolutely grateful for your response. Without it, it would have been impossible for me to reach the solution. Millions of thanks.

jason.ramchandani01 avatar image jason.ramchandani01
@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.
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Nabil Edriss Sanchez1 avatar image
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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.

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