As far as I can tell Quantopian calculates vwap (day or minute) by multiplying the bar's Close * bar's volume. But all of the day's or minute's trades did not necessarily happen at the bar's close, which is only the last trade of the corresponding period.
By aggregating Ticks to Bars we lose alot of information, but I would argue the Vwap price and volume are the 2 most important summarizing quantities. For instance if we have the 1 minute bars we can resample to 5 minute or even daily bars with accurate vwap prices.
Any hope you guys will add an actual VWAP to the bar data?
thx J