Need a Lay VWAP

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mono88
Posts: 5
Joined: Tue Jan 10, 2023 8:15 pm

Hi guys,

I'm looking for a VWAP that tracks the LAY price, rather than last trade price.

Any help would be much appreciated! thanks in advance :)
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ShaunWhite
Posts: 8535
Joined: Sat Sep 03, 2016 3:42 am

Vwap uses traded volume at each price point. The back/lay/ltp price isn't part of the calculation.
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