How to get NIFTY closing estimate?

NIFTY closing number is based on 30 minute average of NIFTY before closing. i.e. from 3:00 PM to 3:30 PM. I have tried Weighted Moving Average with different lengths. If I choose a length that gives closes match for a particular day’s closing, that same length does not work on other days.

So my question is: What is the most definitive way to obtain the NIFTY average value using the same formula that is used by NSE?

PS: I have already seen NSE documents. They simply say it is a weighted average of last 30 minutes. But I think there are still many undefined variables like what granularity do they use to the calculate avg of minute candle, 5 min candle, per second average, per trade average? What is the exact formula? Is there any NSE/third party published real time indicator that tracks this?

I need it for algo trading during last few minutes of market.

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The most definitive way to get the VWAP for the last 30 minutes will be if you calculate this using tick by tick(TBT) provided by the exchange on a colocation server. More details about TBT data here.

If you see, TBT data comes at a huge infra cost, unless you have a HFT trading platform that requires this, the most cost-effective way to estimate the VWAP for the last 30 minutes is capturing all ticks you receive on Kite Connect APIs(1 or 2 ticks a second, while there could be thousands of trades) and calculating the VWAP which would be a close estimate of the closing price.

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Last 30 minutes average of what? Underlying (Spot) or Futures?
If it is underlying (Spot) then VWAP does not work for that calculation.

How to do it??

@Learner_Sss

Use anchored VWAP on Nifty spot from 3pm to 330pm on ChartsIQ and you will get an approximate Nifty closing value for that day.

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