Is it possible to generate 5min VWAP bars using real-time stream collection?
Thanks!
Is it possible to generate 5min VWAP bars using real-time stream collection?
Thanks!
Polygon.io has 1-second Vwap aggregates. That’s the closest thing available. There’s no built-in VWAP aggregation method for aggregate databases, so otherwise you would have to aggregate the data yourself from the ticks.