Pandas Resampling With Custom Volume Weighted Aggregation

I'm trying to do a volume weighted price aggregation based on a 5 second timestep for which I have multiple datapoints. I can get simple mean and sum aggregations for individual fi

Solution 1:

Using .apply you can write any custom aggregation function you want.

def vwap(data):
    return (data.P * data.Q).sum() / data.Q.sum()

When using a grouper, you can apply it like this:

df.groupby(pd.Grouper(freq="5s")).apply(vwap)

With resampling, .apply can be used as well:

df.resample("5s").apply(vwap)