Code Set
AveragePriceTypeCodeSet
| ID | 2763 |
| Type | int |
| Pedigree | Added EP240 |
The average pricing model used for block trades.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| TimeWeightedAveragePrice | 0 | Time weighted average price | TWAP is the simple average price of a security over a specified time without regard to the volume traded. | Added EP240 |
| VolumeWeightedAveragePrice | 1 | Volume weighted average price | VWAP is the sum of the currency amount traded for all trades in the averaging group (price times quantity) divided by the total quantity. | Added EP240 |
| PercentOfVolumeAveragePrice | 2 | Percent of volume average price | POV is the sum of the currency amount traded for all trades executed as part of an order intended to purchase a specified percentage of the total volume of an instrument, divided by the total quantity. | Added EP240, Updated EP271 |
| LimitOrderAveragePrice | 3 | Limit order average price | The limit order average price is the currency amount of all trades executed to fill a limit order, divided by the total quantity. | Added EP240 |
Used in components:
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