HI,
Is the average price shown on the market depth screen different from VWAP?
I have attached the screenshot.
Yes, both the average price show in the market-depth and VWAP formed from the charts are the same.
You might, however, find a slight difference between both the values. This is because the average price shown in the market-depth is fetched from the exchange feed directly while VWAP is calculated using the tick data received from the exchange(candles are formed based on this and we don’t receive ticks for all trades done at exchange). The difference will be a few basis points.
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Follow up on above: Is the pre-opening session a factor too?
No pre-open trades are not considered for VWAP calculation
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Great. Thanks a lot.