Accurately Calculate Vwap using live data feed

Kenil edited November 2019 in Market data (WebSockets)
I want to accurately calculate the vwap of stocks using live market feed. The snapshot data is not accurate as it misses many ticks. Is it possible to accurately calculate vwap using the api?
  • shivdas_b
    Hi @Kenil ,

    You can ping live historical data provided by zerodha. It will provide you the accurate OHLC for 1min, 3min, 5min, 10min etc candles. By Using this data you can calculate VWAP accurately.
    But there is small problem; when you canstantly ping to zerodha api it will give you draw-dawn of 5% (incorrect data). But it can be solved by making new connection whenever you are making call to api.

    Thanks ,
  • Vaga
    @shivdas_b Isn't historical data provided by Zerodha also miss few ticks? I think even the volume provided by zerodha would vary from the volume recorded by NSE. Maybe @sujith should be able to provide some insights here.
    @Kenil I think you can compare your snapshot values with zerodha's historical data values and check whats the % of variations in volume. If it's less than 5% you should be able to use it.
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