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Volume Weighted Average Price from Intra-Daily Data

version (5.92 KB) by Semin Ibisevic
Retrieves the VWAP from intra-daily data of Google Finance

1 Download

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:

Cite As

Semin Ibisevic (2020). Volume Weighted Average Price from Intra-Daily Data (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)

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? THX again


very good

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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