What is the formula used for VWAP in KITE.

Hi, I am having different results when using VWAP i coded. Can anyone tell me what formula does Zerodha uses?
  • rishiajmera
    @ayush Were you able to figure out the formula used by kite? I am calculating it in my program but values are not matching.
  • vihan13singh
    Greetings @ayush!

    I'm Vihan Singh, founder & CEO at Blackrose Technologies. We're an investment & technology development firm focused on building black-box trading systems for financial markets.

    Coding the VWAP can be tricky as it involves cumulative parameters. However, it's definitely possible and we'd be happy to help you with it.

    Feel free to call us on +91-9810171088 or email us at [email protected] if you would like to connect.

  • tahseen
    @ayush I don't know what Zerodha is using but VWAP - Volume Weight Average Price means

    It is the (Sum Product of Price and Volume) / Sum of Volume, which basically means you are getting price weighted basis volume traded on that price

    At least that is what I use and I do get the match with what Kite Chart shows
  • amandeep179018
    Can anyone please tell me how can I get an average of 52 candles of 5 min?
    I have obtained the data but don't know how to get an average of latest 52 candles
  • tahseen
    tahseen edited December 2019

    Let us say you have the close prices of 5-minute candle in an array variable candle_close[ ]
    then last 52 candle close in pure python is
    sum(candle_close[-52 : ] ) / 52

    That being said, If you don't know how to do this, then you shouldn't do programmatic trading / back testing, until such time that this line of code is cake walk for you
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