It has been pointed out to me that the custom factor for VWAP:
from quantopian.pipeline.factors import VWAP
is currently being computed incorrectly. It appears that the VWAP custom factor computes VWAP on daily data using daily close and volume prices. Every other defintion of VWAP (forgive this unscholarly source) I have seen uses tick data, it can also be estimated using minute bars. There was a discussion in another thread on how to estimate VWAP using minute bars. Yes it is arguable that VWAP can be computed using any time scale, however it is misleading for a daily VWAP to be computed using other daily data.
This discussion about what is the right way to compute VWAP is not productive, however myself and many other memebers of the Quantopian community would find a daily VWAP computed from minute or tick bars very useful.
Are there any plans to generate a VWAP based on minute bars?