Time at which vwap was calculated


#1

Hi,

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?

Thanks


#2

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]


#3

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