Description

Type: int

The average pricing model used for block trades.

Valid values:

  • 0 = Time weighted average price

    TWAP is the simple average price of a security over a specified time without regard to the volume traded.

  • 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.

  • 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.

  • 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.

Used In