Been trying to search the solution on Kite Connect forum but haven't got answer. How to calculate the VWAP from Average Price for different time frames ? I am looking for VWAP value for 5 minute candle. But answer to this query can help others who want it for different time frames.
In one of threads of forum, I saw Average Price being same as VWAP. If it is and if we receive it with the tick data, can I calculate VWAP for 5 minute time frame as Average of VWAP's received in ticks of 5 minute ? Please comment.
@sujith thanks for the vwap explanation link but I went through that explanation earlier. I was wondering if there was easier way to calculate it instead of calculating all those columns and vwap value eventually... as Average Price in Kite ticker is actually vwap value for every tick so there is infact easier way of directly calculating vwap for different time frames... For 5 minutes time frame, I just did averaging of 5 minute average price tick values and it gives me very close vwap value which we see on Kite ( only fractional part is little different )... but it good enough for me to implement my strategy... thanks anyway.
