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.