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»Forums Index »Archive (2017 and earlier) »DTN.IQ Client Software Support »Downloading Daily VWAP History
Author Topic: Downloading Daily VWAP History (3 messages, Page 1 of 1)

sf631
-Interested User-
Posts: 6
Joined: Oct 30, 2012
Posted: Jun 8, 2015 11:03 AM          Msg. 1 of 3
Newbie question here:

How can I systematically download daily VWAP as part of historical backfill? I typically use QCollector but can also access directly via a custom python script.

I know it's displayed on streaming data (via the IQWatchQuote) but I am hopeful that IQFeed retains this value in the daily bars such that it can be downloaded without needing to "roll my own" with ticks or intraday bars.

Thanks in advance

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014
Posted: Jun 8, 2015 01:34 PM          Msg. 2 of 3
Unfortunately we do not store any historical studies. If you would like to email support@iqfeed.net with your User ID we can place a customer request for an enhancement to our system.
Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

sf631
-Interested User-
Posts: 6
Joined: Oct 30, 2012
Posted: Jun 8, 2015 10:38 PM          Msg. 3 of 3
OK, thanks for the clear answer Stephen. I was hopeful that this would be different, if only because VWAP is so commonly used as a benchmark for execution quality
 

 

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