Description
Type: int
The average pricing model used for block trades.
Valid values:
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0 = Time weighted average price
TWAP is the simple average price of a security over a specified time without regard to the volume traded.
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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.
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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.
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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.