Code Set NameData TypeDescriptionPedigree
AveragePriceTypeCodeSetint

The average pricing model used for block trades.


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 [TimeWeightedAveragePrice]
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 [VolumeWeightedAveragePrice]
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 [PercentOfVolumeAveragePrice]
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 [LimitOrderAveragePrice]
Added EP240
Used in fields:
[AveragePriceType]