Volume Weighted Average Price (VWAP) and Time Weighted Average Price (TWAP)

The purpose of this test is to verify that the client system can receive and process Volume Weighted Average Price (VWAP) and Time Weighted Average Price (TWAP) market data.

Note: See the EBS Spectrum Message Specification for more information.

  1. Select a SenderComp ID in the drop-down.
  2. Select Assign.
  3. From the Contract drop-down, choose the desired contract and click Select.

Note: Step 4 is only required for systems receiving Snapshot+Updates.

  • To run a Volume Weighted Average Price (VWAP) and Time Weighted Average Price (TWAP) test:
  1. AutoCert+ generates a Volume Weighted Average Price (VWAP) and Time Weighted Average Price (TWAP).

Note: Please do not establish TCP MDP connectivity yet.

  1. Establish a TCP MDP connection and then submit a Market Data Request (tag 35-MsgType=V) message.
  2. Enter the following tag values to confirm that your application received and processed the Volume Weighted Average Price (VWAP) and Time Weighted Average Price (TWAP) market data. The Date/Time format should be entered as: YYYYMMdd hhmmss.
  • 270-VWAP MDEntryPx
  • 271-VWAP MDEntrySize
  • 273-VWAP MDEntryTime
  • 270-VWAP MDEntryPx
  • 271-VWAP MDEntrySize
  • 273-VWAP MDEntryTime

Note: The following step is only required for systems receiving Snapshot+Updates.

  1. Enter the following tag values to confirm that your application received and processed the Volume Weighted Average Price (VWAP) and Time Weighted Average Price (TWAP) market data. The Date/Time format should be entered as: YYYYMMdd hhmmss.
  • 270-VWAP MDEntryPx
  • 271-VWAP MDEntrySize
  • 273-VWAP MDEntryTime
  • 270-VWAP MDEntryPx
  • 271-VWAP MDEntrySize
  • 273-VWAP MDEntryTime