The Volume Weighted Average Price (VWAP) of a stock over a specified market period is defined as the average price paid per share during that period (price of each transaction in the market weighted by its volume). It is calculated from the volumes and prices of all trades during a certain period of time.

Price page documents in TeleTrader WorkStation can be extended to show several VWAP columns: The Volume Weighted Average Price (VPrice) itself, its standard deviation (VStdDev), total volume (VVolume), average volume (VAvgVol) and the total number of transactions (VTrans) in the defined period. The VWAP values are shown with 4 decimals.

By default, the VWAP is calculated over daily data. All parameters (custom time period, price and volume filters) can be adjusted to fit your needs. You can also manually edit the appropriate VWAP range columns directly on the price page, temporarily freeze the calculation of VWAP data and add remarks to each row. Other default settings for the VWAP tool, like the default type or V-Button colors, can be set under Tools > Options > Price Page > VWAP: See VWAP Settings.

Note             Only for volume data from the XETRA(CEF) feeds, the columns Volume and VVolume might show different values, because CEF data feeds include some special order types in the total volume but do not show individual quote events.

To add the VWAP columns to a price page

▪       Right-click in the price page and select Insert VWAP Columns.

To remove the VWAP columns from a price page

▪       Right-click in the price page and select Remove VWAP Columns.

To remove the VWAP data for one symbol (row)

▪       Right-click on the V-Button  of the symbol and choose None.

To choose a time period for VWAP calculation

▪       Right-click on the V-Button  of the symbol and choose a time period:

Daily

Calculates the Volume Weighted Average Price with data from the current trading session. You can choose a different day in the Date/Time section of the VWAP Properties dialog (see below).

Last Hour

Calculates the VWAP with data from the last hour.

Custom

Calculates the VWAP for a custom time period. Choose the appropriate settings in the Date/Time section of the VWAP Properties dialog (see below).

Note             If you want to see VWAP calculations with different time periods for the same symbol in one price page, you can easily create a copy of any symbol and apply a different time period to it. See Copying Symbols for details.

To customize the VWAP calculation parameters for a symbol

▪       Click on the V-Button  of the symbol.

▪       In the VWAP Properties dialog, adapt the default settings to your needs:

Type

Choose the time period used for calculating the VWAP: Daily, Last Hour, Custom or None.

Date / Time

Choose the begin and end date and time of a custom time period used for calculating the VWAP. The maximum time period is 7 calendar days (calculation cross trading sessions is possible).

Check the Begin box to set the start time of the period to the beginning of the chosen day.

Check the End box to set the end date and time to the end of the maximum time period (7 calendar days).

Filter

Enter the lower and upper boundaries for the volume or price range of the trades that should be included in the calculation of the VWAP.

Fractional Volume in %

Enter a percentage of the total volume. The calculated fraction of the total volume is displayed in the column VFVol.

Note             All the settings above can also be manipulated from within the price page by using the editable columns VDateF (start date), VDateT (end date), VTimeF (start time), VTimeT (end time), VPriceF (lower price limit), VPriceT (upper price limit), VVolF (lower volume limit), VVolT (upper volume limit) and VFVar (total volume fraction).

To temporarily freeze VWAP calculation for a symbol

▪       Right-click on the V-Button  and choose Freeze.

To add remarks to VWAP data

▪       Add the editable column Text to your price page (see Adding and Removing Columns).

▪       Double-click the empty cell and enter your remarks.

Note             You can also press F2 to edit the contents of the cell.

▪       Press the Enter key.