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The Volume Weighted Average Price (VWAP) is the average price an instrument has traded at throughout the day, based on both volume and price. There are two types of VWAP values:

  • Intraday - Real time VWAP calculated and distributed for all Repo products. Intraday VWAP is calculated from start of day through the workup that just ended. US Repo Intraday VWAP values are calculated at the end of every workup. EU Repo Intraday VWAP values are calculated after every trade.  Cancellations and amendments are reflected in VWAP updates. 
  • Daily Averages - Sent at 8:30 AM ET, 10 AM ET and Previous day 10 AM ET (at session start) for US Repo. Daily VWAP averages are calculated from trades up to and including the Average Time (e.g., business open up to and including Workups that end by 10 AM ET). Trade cancellations/corrections disseminated through MDP are reflected in any future published 8:30 AM and 10:00 AM averages, but averages already published are not republished. Similarly, the previous day 10:00 AM reflect the actual published value. 

Separate VWAPs are not disseminated for AON instruments. AON Trades are included in the VWAP for the parent instrument.

FIX Syntax for VWAP

Tag Number

Tag Name

Valid Values

Description

279

MDUpdateAction

0=New

2=Delete

Type of market data update action.

269

MDEntryType

9=VWAP

Volume Weighted Average Price (VWAP).

48

SecurityID


Unique instrument ID as qualified by the exchange.

270

MDEntryPx


Price of the market data entry.

286

OpenCloseSettleFlag

100=Intraday VWAP

101=Repo Average 8:30 AM ET

102=Repo Average 10 AM ET

103=Previous Session Repo Average 10 AM ET

Volume Weighted Average Price (VWAP) type.

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