Discussion in 'Data Sets and Feeds' started by MGB, Feb 25, 2010.
Do you know which Data Feeds provide Intraday VWAP for all equities?
I don't know if this is what you are looking for. You can get intraday VWAP, using the NVWAP indicator with Ninja Charts, in the forum, indicator download section, and then get stock data into, probably IB or something?
Activ Financial will give you that data, or bloomberg, or Thompson/Reuters
eSignal provides intraday VWAP as well.
Unfortunately, NinjaTrader doesn't story historical volume. So, I can't backtest with the NVWAP indicator.
same with tradestation, it won't store historical vwap, but you can easily write your own indicator and plot/backtest with it. Tradestation forum has many examples
We also have a formula to approximate the VWAP for both historical and real-time calculations and this can be utilized for backtesting as well.
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