☰
›

Volume weighted average price for a candle

vivek_agg
vivek_agg in Python client
Hi,
Is there any way to calculate the volume weighted average price for a candle?
Thanks
Vivek
Tagged:
  • nagavenij
    nagavenij
    You may refer to this similar discussion.
  • vivek_agg
    vivek_agg
    Hi @nagavenij ,
    That thread talks about the VWAP.
    VWAP is different. I am looking for average price of candle. In case candle is 1 minute, I want to know the average price for that candle, which I expect will be between the high and low values of that candle.
    Similarly in case of 5minute candle, need to know the average price for that candle which should be between high/low values of that candle.
    The average price price we get in ticker is not the same.
  • nagavenij
    nagavenij
    VWAP and average price are the same. However, a difference arises when the data is fetched through the quote() API, as this value is provided directly by the exchange. On the other hand, the average price obtained via the ticker is calculated based on the ticks received at our end. Since not all trades executed at the exchange are received as ticks, minor variations may occur. This difference is usually limited to a few points.
  • vivek_agg
    vivek_agg
    Hi @nagavenij ,
    How can I get the average price from ticker? Is it the average price for the duration of the candle.
    I dont need average price for the day, but only for the selected interval/candle e.g. 1 minute, 3 minute, 5 minute etc.
    Regards
    Vivek
  • nagavenij
    nagavenij
    The average price fetched through WebSocket reflects the day’s average price. If you wish to calculate the average price for a selected interval using Ticker/WebSocket, you would need to fetch the tick data and compute it at your end. For historical data, the average price can be retrieved using the quote API.
  • vivek_agg
    vivek_agg
    How can I fetch the tick data. In historical_data API I get minimum 1 minute interval
Sign In or Register to comment.