intra-day V.W.A.P. (VWAP)
I've just seen that the latest (just released) version of eSignal (10.4) includes VWAP. Have any of you tried it? From eSignal's product news page:
Under the Tools menu is a new calculator that allows you to get a VWAP value when certain dates / times are specified. You can also apply size filters to include or exclude trades of a given size to estimate where certain trading groups are putting their money into the market. That is to say, you can determine what the VWAP would be if large block trades are removed or if only large block trades are used.
Alternatively, the Weekly VWAP could be generated with this tool, which is a nice way to see what the average price was for the week.