LWAP (Liquidity-Weighted Average Price)
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.
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.
API Endpoints
/spot-analytics-information-order-book-depth
/spot-analytics-order-book-depth-lwap
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.
| Exchange | History |
|---|---|
| Binance | 2024-01-01 |
| Binance.us | 2023-05-31 |
| GDAX (Coinbase) | 2024-01-01 |
| Huobi | 2023-11-20 |
| Kraken | 2023-08-27 |
| Okex (OKX) | 2024-01-01 |
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.
Updated 1 day ago