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Description

LWAP is a liquidity-weighted average of prices derived from the order book. Unlike VWAP, which is based on executed volume, LWAP focuses on the price levels with the most available liquidity.

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Details

LWAP offers a view of the true market-clearing price based on where liquidity sits, rather than where trades occur. It’s particularly helpful for estimating where large trades would most likely be filled without disrupting the market. Often used to compare with VWAP or to assess liquidity health at a given point in time.

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API Endpoints

/spot-analytics-information-order-book-depth /spot-analytics-order-book-depth-lwap

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Availability

We cover major tokens such as BTC, ETH, XRP, SOL, and USDT. Please use the information endpoint to find all coverage and exact trading pairs. Coverage includes major tokens such as BTC, ETH, XRP, SOL, and USDT. Please use the information endpoint to find all coverage and exact trading pairs.
ExchangeHistoryGranularity
Binance2023-06-011hr, before 2025 then 1min
Binance.us2023-06-011hr, before 2025 then 1min
Bitstamp2023-06-011hr, before 2025 then 1min
Bybit2023-06-011hr, before 2025 then 1min
GDAX (Coinbase)2023-06-011hr, before 2025 then 1min
Gemini2023-06-011hr, before 2025 then 1min
OKEx (OKX)2023-06-011hr, before 2025 then 1min
Poloniex2023-06-011hr, before 2025 then 1min
itBit2024-03-051hr, before 2025 then 1min
Mercado Bitcoin2024-03-251hr, before 2025 then 1min
Bitget2024-09-241hr, before 2025 then 1min
Huobi2024-09-241hr, before 2025 then 1min
Gate.io2025-01-071min
Crypto.com2025-02-191min
KuCoin2025-02-191min
HashKey2025-02-281min
Bullish2025-03-191min
Deribit2025-03-201min
Coinbase Intl2025-04-011min
Upbit2025-04-281min
CoinW2025-05-151min

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Frequently Asked Questions

How is LWAP different from VWAP?
  • VWAP is trade-executed price weighted by volume; LWAP uses order book liquidity as the weighting input. LWAP is a forward-looking execution model, whereas VWAP is historical.
Why is LWAP important?
  • It can help traders and quants simulate trade impact or optimize execution paths.