Skip to main content
Track Volume-weighted average price
9 / 18
Search the archiveLibrary
Library

2014issue C1135

Workstation order routing, VWAP, and session filters

An equity-desk monitor can place live consolidated bids and asks, session open and range, regular-hours volume, late-session volume-weighted average price, and an order ticket that names destination, type, size, price, and time in force on one surface.

  • Each symbol on the quote row can show live bid, ask, last price, change, and percent change, with bid and ask taken as consolidated best prices across electronic networks and other market centers.
  • The same monitor can carry the open, day high, day low, regular-hours volume that excludes premarket activity, and volume-weighted average price as a late-session benchmark.
  • The order ticket collects destination, limit or market type, quantity, price, time in force, and account, and destination choice can reverse whether a resting order pays a fee or receives a credit.
  • A depth montage refreshes Level 2 working bids and offers, and a message monitor logs entries, executions, and cancellations while reporting the day's average prices.
Entries in this reading3 entries
Order routing2 readingsSession analysis14 readingsCurrent trackVolume-weighted average price19 readings

A quote row built for scanning

A quote row can be built so each symbol shows live bid, ask, last price, change, and percent change together for real-time scanning. Bid and ask can be defined as consolidated best prices across electronic networks and other market centers, not only the primary venue.

That pair is a consolidated quote: the best bid or offer after electronic networks and other market centers are combined, instead of a single primary-venue print.

Session clocks and volume-weighted average price

Session fields on that monitor can include the open, day high, day low, and regular-hours volume that excludes premarket activity. Session analysis means reading open, range, regular-hours volume, and recent trade size so the life of an order is judged against the current session rather than a single last price.

Volume-weighted average price can sit on the same monitor and is described as especially useful near the end of the session. It is a session-long average price weighted by traded size, used on the quote row as a late-day benchmark for whether a print is cheap or expensive to implement.

Destination, type, and liquidity credit

An order ticket can collect destination, limit or market type, quantity, price, time in force, and account reference for a buy, sell, or short sale. Order routing is the work of selecting a destination, order type, size, price, and time in force so the ticket can actually be filled and the cost of providing or taking liquidity is accounted for.

Destination choice can reverse whether a liquidity-providing order pays a fee or receives a credit. That liquidity credit is the fee-or-rebate outcome that depends on whether a destination charges or pays a trader who rests size on the book.

A depth montage can show Level 2 book data and refresh working bids and offers as the book updates. The montage is a personalized Level 2 book; working bids and offers stay current as the order book changes.

A message monitor can log entries, executions, and cancellations and report the day's average prices. The same blotter summarizes the day's average prices alongside those entries, fills, and cancels.

Live quote fields can be linked into a spreadsheet so a fair-value formula can show whether related futures trade at a premium or a discount. That fair-value link is a spreadsheet hook from the quote feed that flags whether related futures trade rich or cheap versus a calculated fair value.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
9 of 18 in the Volume-weighted average price track
20158-11 pp.Next on Volume-weighted average priceConstructing price gravity and float turnover filtersA higher last-trade print requires a buyer to deliver more cash than the previous owner paid, while a lower print does not require the seller to raise new cash.
All readings on this track · 18 readings
  1. 2000Volume-weighted average price as a baseline for indicator construction
  2. 2001Constructing VWAP support and resistance from cumulative volume
  3. 2001An elastic volume-weighted moving average from a share-count lookback
  4. 2001Constructing an elastic volume-weighted average and volatility bands
  5. 2004Volume-weighted column averages and crossovers on point-and-figure charts
  6. 2004Session volume-weighted average for limit placement and listed routing
  7. 2008Building MIDAS curves from an anchored volume-weighted average
  8. 2008Construct a launch-point VWAP as support and resistance filters
  9. 2014Workstation order routing, VWAP, and session filters
  10. 2015Constructing price gravity and float turnover filters
  11. 2015Constructing four-stage cycles with anchored VWAP
  12. 2017Constructing a volume-weighted crossover and breakout as one swing rule set
  13. 2017Constructing a volume-weighted moving-average crossover
  14. 2017Constructing anchored volume-weighted average price maps for crowd-visible execution costs
  15. 2018Order book heatmaps, VWAP, and flow for execution
  16. 2018Constructing futures rolls ahead of first notice day
  17. 2019Evaluate a mechanical futures system as one procedure
  18. 2020Every bounce is a falsifiable regime test
By fieldOrder types and routing7 readingsBy year201489 readings
All 19 readings tagged Volume-weighted average price
Also on Volume-weighted average price5 readings
2004Session volume-weighted average for limit placement and listed routingOrder routing1988Constructing session decisions from auction age and volumeSession analysis1989Range extension after the opening auctionSession analysis1990Constructing daily overlay profiles for auction brackets and breaksSession analysis1990Constructing overlay profiles to map auction valueSession analysis