From 5c4a72ee993fe556c4e05590e1b5ee70d221889a Mon Sep 17 00:00:00 2001
From: YuvalWein <65113623+YuvalWein@users.noreply.github.com>
Date: Thu, 7 Jan 2021 18:39:10 +0200
Subject: [PATCH] Update vwap.py

An Attempt to fix the VWAP problem presented in this issue:
https://github.com/twopirllc/pandas-ta/issues/38

Is it fixing the problem?
---
 pandas_ta/overlap/vwap.py | 12 ++++++++----
 1 file changed, 8 insertions(+), 4 deletions(-)

diff --git a/pandas_ta/overlap/vwap.py b/pandas_ta/overlap/vwap.py
index 3a8e32f..78fd995 100644
--- a/pandas_ta/overlap/vwap.py
+++ b/pandas_ta/overlap/vwap.py
@@ -1,6 +1,6 @@
 # -*- coding: utf-8 -*-
 from .hlc3 import hlc3
-from ..utils import get_offset, is_datetime_ordered, verify_series
+from pandas_ta.utils import get_offset, is_datetime_ordered, verify_series
 
 def vwap(high, low, close, volume, offset=None, **kwargs):
     """Indicator: Volume Weighted Average Price (VWAP)"""
@@ -11,12 +11,17 @@ def vwap(high, low, close, volume, offset=None, **kwargs):
     volume = verify_series(volume)
     offset = get_offset(offset)
 
+    typical_price = hlc3(high=high, low=low, close=close)
+
     if not is_datetime_ordered(volume):
         print(f"[!] VWAP volume series is not datetime ordered. Results may not be as expected.")
+    if not is_datetime_ordered(typical_price):
+        print(f"[!] VWAP price series is not datetime ordered. Results may not be as expected.")
 
     # Calculate Result
-    tp = hlc3(high=high, low=low, close=close)
-    vwap = (tp * volume).cumsum() / volume.cumsum()
+    weighted_price = typical_price * volume
+    vwap = weighted_price.groupby(weighted_price.index.to_period('d')).cumsum() / \
+           volume.groupby(volume.index.to_period('d')).cumsum()
 
     # Offset
     if offset != 0:
@@ -29,7 +34,6 @@ def vwap(high, low, close, volume, offset=None, **kwargs):
     return vwap
 
 
-
 vwap.__doc__ = \
 """Volume Weighted Average Price (VWAP)