Data Processing
Incorrect VWAP for subset of markets on 4 dates
The volume weighted average price (VWAP) in our candles data has been corrected for all affected dates.
Affected Products: MDF-EOD, MDF-D, MDF-RT
Description: For ~500 markets, the volume weighted average price (VWAP) in our candles data is incorrect due to an error. The problem is localized to 2020-12-30, 2021-01-03, 2021-01-05, and 2021-01-08. We are currently investigating and working to fix the error.