I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities VWAP price without having access to tick data ?

  • $\begingroup$ This question appears to be off-topic because it is about finding sources of data $\endgroup$ – chollida Nov 13 '14 at 20:42

Have you checked out www.quantopian.com? They host minute-bar OHLCV data for US equities starting in Jan 2002 and updated nightly. You can't download the data wholesale but you can backtest and paper trade for free using their Python IDE. There's also a pre-canned VWAP() API call that you can use to roll your own custom VWAP.

Full disclosure, I work for Quantopian. But I really think its the best deal going - I don't know of any other comparable free data source.

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    $\begingroup$ I am aware of Quantopian. I am looking for a source where I am able to download the data on my machine locally. $\endgroup$ – silencer Jan 16 '14 at 0:01

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