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Volume Weighted Average Price from Intra-Daily Data

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Volume Weighted Average Price from Intra-Daily Data

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Retrieves the VWAP from intra-daily data of Google Finance

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Description

This package allows you to [1] retrieve intra-daily stock price data from Google Finance, [2] calculate the VWAP at the end of each trading day and [3] transform intra-daily data to a daily format.

The user is allowed to specify
- the ticker symbol and the exchange on which the security of interest is listed (from Google Finance);
- the interval of the intra-daily data (frequency: 1 second or higher);
- the period (historical dates).

Additionally a function 'getUniqueDayElements' is included to transform the intra-daily data (such as price, volume, high, low, etc) to a daily format.

To retrieve the intra-daily data this package makes use of the function written by Ted Teng, August 2011. The full package for retrieving intra-daily data can be found at: http://www.mathworks.com/matlabcentral/fileexchange/32745-get-intraday-stock-price

Acknowledgements

Get Intraday Stock Price inspired this file.

This file inspired Wfa Toolbox.

MATLAB release MATLAB 7.10 (R2010a)
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Comments and Ratings (2)
16 Aug 2012 Jay Cheng

Thx for sharing. But I have an issues with period >15d. i.e., I tested your Example.m on 8/16/2012. It only showed up to Jul/25, regardless whether I set the variable, period, to '17d', '3w', '1m', or '1y'. Any thought? cdc42GTP@gmail.com THX again

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27 May 2012 Zhang

Zhang (view profile)

very good

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