Algorithmic Trading & Indicators Intermediate

Calculate Intraday VWAP with Daily Session Reset in Python Pandas

Accurate Python script to calculate intraday Volume Weighted Average Price (VWAP) on 1-minute or 5-minute OHLCV data with automatic daily session reset.

#pandas#numpy

Problem Statement

Calculating cumulative VWAP across multiple days of intraday data without resetting at market open distorts the curve. This script groups by session date to reset at 9:15 AM daily.

Formula / Core Logic

Typical Price (TP) = (High + Low + Close) / 3 VWAP = Cumulative(TP x Volume) / Cumulative(Volume) grouped by trading day.

Installation

pip install pandas numpy

intraday-vwap-calculation-python-pandas.py

import pandas as pd
import numpy as np

def intraday_vwap(df):
    df = df.copy()
    df['TP'] = (df['High'] + df['Low'] + df['Close']) / 3.0
    df['TPV'] = df['TP'] * df['Volume']
    dates = df.index.date
    df['VWAP'] = df.groupby(dates)['TPV'].cumsum() / df.groupby(dates)['Volume'].cumsum()
    df['Above_VWAP'] = np.where(df['Close'] > df['VWAP'], 1, -1)
    return df.drop(['TP', 'TPV'], axis=1)

Get the Complete 100+ Python Quant & Automation Bundle

Instant lifetime access to all production-ready scripts, valuation models, and trading bots ($19).

Buy Full Bundle on Gumroad ($19) →

Frequently Asked Questions

Q: Does VWAP work on daily timeframes?

Standard VWAP is strictly an intraday indicator. For daily charts, traders use Anchored VWAP.