| ID | Datatype |
|---|---|
| 2763 | int |
| ID | Name | Value | Description | Supported | Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|---|---|---|---|---|
| 2763001 | TimeWeightedAveragePrice | 0 | SYNOPSIS:
Time weighted average price
ELABORATION: TWAP is the simple average price of a security over a specified time without regard to the volume traded. | ✓ | FIX.5.0SP2 | 240 | ||||
| 2763002 | VolumeWeightedAveragePrice | 1 | SYNOPSIS:
Volume weighted average price
ELABORATION: VWAP is the sum of the currency amount traded for all trades in the averaging group (price times quantity) divided by the total quantity. | ✓ | FIX.5.0SP2 | 240 | ||||
| 2763003 | PercentOfVolumeAvveragePrice | 2 | SYNOPSIS:
Percent of volume average price
ELABORATION: 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. | ✓ | FIX.5.0SP2 | 240 | ||||
| 2763004 | LimitOrderAveragePrice | 3 | SYNOPSIS:
Limit order average price
ELABORATION: The limit order average price is the currency amount of all trades executed to fill a limit order, divided by the total quantity. | ✓ | FIX.5.0SP2 | 240 |