info
Trade Responsibly. FxPro is not regulated by the Brazilian Securities Commission and is not involved in any action that may be considered as solicitation of financial services; This translated page is not intended for Brazilian residents.Trade Responsibly.Trade Responsibly.CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 78.90% of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.CFDs and Spread Betting are complex instruments and come with a high risk of losing money rapidly due to leverage. 80.59% of retail investor accounts lose money when trading CFDs and Spread Betting with this provider. You should consider whether you understand how CFDs and Spread Betting work and whether you can afford to take the high risk of losing your money.
FxPro is not regulated by the Brazilian Securities Commission and is not involved in any action that may be considered as solicitation of financial services; This translated page is not intended for Brazilian residents.Invest Responsibly: Trading CFDs involves significant risks.
FxPro Help Centre - Glossary

VWAP Execution

Volume weighted average price (VWAP) is the weighted average execution price for a given trade based upon multi-tiered levels of liquidity, with each tier having a corresponding price and volume.

This method of execution allows the user trading larger trade sizes to sweep through the tiers and execute with all available prices throughout the various tiers until the order is filled or until all liquidity has been exhausted.

Example

Tier Size Bid Price Offer Price
1 500,000 1.32335 1.32350
2 1,000,000 1.32340 1.32370
3 2,000,000 1.32345 1.32375
4 3,000,000 1.32350 1.32380
5 5,000,000 1.32355 1.32385

Given the above ladder a buy trade of 3.5 million would execute through the top 3 price levels (starting at Tier 1) as follows:

  • 500,000 at 1.3235
  • 1,000,000 at 1.3237
  • 2,000,000 at 1.32375

The average price for the total amount is calculated at an average price of 1.3237.

Calculation: ((500,000/3,500,000)*1.3235) + ((1,000,000/3,500,000)*1.3237) + ((2,000,000/3,500,000)*1.32375) = 1.3237

Other terms in this category