Based on this answer: Pandas Efficient VWAP Calculation
I see how one can efficiently make a vwap on a period of candles.
df['vwap_pandas'] = (df.v*(df.h+df.l)/2).cumsum() / df.v.cumsum()
However, what if I had a dataset with hundreds of days with one-minute candles and I want to calculate the VWAP on a per-day basis. I have a column which is the day, e.g. "2000-01-01". How could I do a group by day, and apply the above vwap function?
