In this section the example uses
DB_FIELDS = ["Vwap", "Volume", "Close"], note Vwap, while the comment mentions Wap.
It might be worth calling out that it’s Wap for ibkr but other vendors are different?
There’s no VWAP in EDI’s XJPX but is TradedValue/Volume the same thing? Is that effectively price adjusted, since Volume is adjusted?