How to get NIFTY closing estimate?

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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