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Real-Time and Historical VWAP API


This API offers real-time, intraday and historical VWAP (Volume-Weighted Average Price) data for US equities. VWAP is a method of pricing transactions and is used as a benchmark to measure the efficiency of institutional trading or the performance of traders. For examples, it is often used as an indicator for trading performances by pension plans, hedge funds and firms that engage in algorithmic trading. VWAP for a stock is calculated by adding up the dollars traded for every transaction in that stock (price x shares traded) and then dividing by the total shares traded for a specific time period.

Key Features
  • Real-time VWAP (requires real-time exchange agreements)
  • Delayed VWAP (requires exchange agreements where applicable)
  • End of Day VWAP
  • Historical VWAP going back to 1/1/1994
  • Market-accepted standard VWAP calculations
  • Daily VWAPs back to 1/1/1994
  • Monthly VWAPs
  • Weekly VWAPs
  • Corporate VWAPs
  • Reliable and recognized data source: Xignite’s VWAP service was used to price some of the largest split-off transactions in US history (McDonald’s/Chipotle, Halliburton/KBR)
Key Benefits
  • Use a single easy-to-use API to obtain comprehensive, institutional quality VWAP data
  • Easily embed VWAP pricing and information in your applications--including spreadsheets, websites, mobile apps and other corporate applications
  • Dramatically reduce time to market for apps that need VWAP information
  • Eliminate the pains and complexity of legacy data feeds by using cloud APIs
Data Coverage At-A-Glance
  • Asset Class: US Equities
  • Exchanges Covered: NYSE, NYSE Arca, NYSE Mkt, NASDAQ, OTCBB
  • Timeliness: Real-time, delayed (1mn), end of day, historical
  • Availability: EOD VWAPs are available
Key Data Points
  • Historical VWAP: Start date, end date, VWAP, volume, change, percent change
  • Delayed and Real-Time VWAP: Start time, end time, VWAP type, VWAP, high, low, average, amount, volume, trades
  • Delayed VWAP: Start time, end time, VWAP type, VWAP, high, low, average, amount, volume, trades

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