SUM of TSVWAP using LSEG Data Library for Python

jonathan.legrand0

Do you know why the 1st value from

df = ld.get_data(universe = ['LSEG.L'],fields=['TR.TSVWAP(CALCMETHOD=SUM,POINTS=2,Frq=D,SDate=0,EDate=-40)'])

and

df = ld.get_data(universe = ['LSEG.L'],fields = ['TR.TSVWAP(CALCMETHOD=SUM,POINTS=20,Frq=D,SDate=0,EDate=-40)'])

are the same (in this case 8954) when one should be the sum of the past 2 days of data and the other should be the sum of the past 20?

Jirapongse

@jonathan.legrand0

Thank you for reaching out to us.

I checked the data in the Workspace Excel with the following formulas.

=@RDP.Data("LSEG.L","TR.TSVWAP(CALCMETHOD=SUM,POINTS=2,Frq=D,SDate=0,EDate=-40)","CH=Fd RH=IN",H2)

=@RDP.Data("LSEG.L","TR.TSVWAP(CALCMETHOD=SUM,POINTS=20,Frq=D,SDate=0,EDate=-40)","CH=Fd RH=IN",M2)

Both formulas return the same values.

Please contact the helpdesk support team directly via LSEG Support to verify the content and formulas.