How to compute the Intraday VWAP of Interactive brokers in Ibridgepy

Algo Trading Business
1

Hello there:



I was wondering about a technical indicator that is called "Intraday VWAP (1,1.0)" in the program TWS of interactive brokers, how can I compute this indicator using Ibridgepy?? is this the same indicator that is called simple VWAP in TA-lib ??  



according to the TWS studies  it says 1.0 refers to the number os standard deviations and 1 to the munber of periods   ( I don't know exactly what they mean with that, since  I thought the VWAP is weighted sum …does anyone here know??)



Could you please help me with this issue…??



Thanks

2

Hi Ghery,



I could not find any indicator named VWAP in the TA-lib library. And as it seems you can not use VWAP from TWS in Ibridgepy.



You can code the VWAP indicator yourself and use that in the IBridgePy. Following are a few links you can use for reference. 

  1. https://gist.github.com/jxm262/449aed7f3ce0919e57a1f0ad8c18a9d9
  2. https://stackoverflow.com/questions/44854512/how-to-calculate-vwap-volume-weighted-average-price-using-groupby-and-apply
  3. https://analyzingalpha.com/vwap

Hope this helps!
 
3

Thanks a lot