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Using Minute Bars to Estimate Historical Equity VWAP

Article Quant Q&A · Author: silencer
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Summary

The document concerns the availability of historical volume-weighted average price data for North American equities and whether VWAP can be approximated without tick-level records. Its answer points to a platform offering minute-bar open, high, low, close, and volume data for US equities, with a built-in VWAP function that can be used to calculate the measure during research or backtesting.

The suggested approach is to compute VWAP from intraday bars rather than obtain a separate tick-derived VWAP series. The cited platform is described as allowing free backtests and paper trading, while restricting bulk data downloads. The response also discloses that its author works for the provider, so the recommendation is not independent. Minute bars can support an approximation, but the document does not specify the exact VWAP calculation or quantify the difference from tick-based results; data availability and terms may also change over time.

Key ideas

  • Minute-bar price and volume data can be used to calculate an intraday VWAP estimate.
  • The response recommends a built-in VWAP function for research on US equities.
  • The described data access supports backtesting but does not allow wholesale downloads.
  • The recommendation includes a provider affiliation disclosure and gives no accuracy comparison with tick data.

Tags

EquitiesExecutionBacktestingUS markets
Full text
# Do you know any data source for historical VWAP data?


# Do you know any data source for historical VWAP data?












I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities VWAP price without having access to tick data ?

## Answer by Jess (score 1)

https://quant.stackexchange.com/a/9928

Have you checked out www.quantopian.com? They host minute-bar OHLCV data for US equities starting in Jan 2002 and updated nightly. You can't download the data wholesale but you can backtest and paper trade for free using their Python IDE. There's also a pre-canned VWAP() API call that you can use to roll your own custom VWAP.

Full disclosure, I work for Quantopian. But I really think its the best deal going - I don't know of any other comparable free data source.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.