Volume Weighted Average Price from Intra-Daily Data

Retrieves the VWAP from intra-daily data of Google Finance


Updated 10 Apr 2012

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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

Cite As

Semin Ibisevic (2023). Volume Weighted Average Price from Intra-Daily Data (https://www.mathworks.com/matlabcentral/fileexchange/36115-volume-weighted-average-price-from-intra-daily-data), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Inspired by: get Intraday Stock Price

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