Minute BarView Attributes

sz697888

In CQ documentation, the minute barview object has a bvwap and vwap attributes.
bvwap Array[float] the vwap for the bar
vwap Array[float] volume weighted average price(vwap) of the bar

Does bvwap refer to the vwap of the bid price?
I actually wanted to use bar.minute object to get the historical bid,ask and last price while looking back N minutes.

Thanks a lot!

-Simon

shayne

Simon -

for minute bar -

bvwap - should be the bvwap for the bar itself, e.g. the minute bar

while

vwap - should be the daily vwap at that time of the day.

Will have to review.

-Shayne

sz697888

Hi Shayne,

Thanks for the reply. Could you please elaborate more on how the minute bar vwap price is calculated ?
When you say daily vwap , is it the same for the event.vwap?

Thanks

@shayne said:
Simon -

for minute bar -

bvwap - should be the bvwap for the bar itself, e.g. the minute bar

while

vwap - should be the daily vwap at that time of the day.

Will have to review.

-Shayne