Time at which vwap was calculated



I’m looking to capture the time at which a vwap price is calculated. That is, both the time at which the calculation started and ended. This is for reporting on an executionReport.

Any ideas?



This business requirement has been covered with EP240 (see https://www.fixtrading.org/extension-packs/) for TradeCaptureReports. The non-repeating component AveragePriceDetail was added. It is currently not available on an ExecutionReport but it would look the same.

AveragePriceType(2763) = 1 (Volume weighted average price)
AveragePriceStartTime(2764) = [start of calculation]
AveragePriceStartEnd(2765) = [end of calculation]


Thanks Hanno! Very useful, I doubt I would have found that myself.