How we compute session VWAP from 1-minute bars when the data feed does not give you one

Our stock app showed a "VWAP" number for every ticker. For a while that number was a lie. This is a short write-up of how we found out, and how we now compute session VWAP from 1-minute bars when the data feed does not give you one. The VWAP row on the stock command screen, now computed from 1-minute bars. What was wrong The market-data snapshot... Weiterlesen: How we compute session VWAP from 1-minute bars when the data feed doe…