get https://api.amberdata.com/markets/spot/analytics/depth/lwap
Liquidity Weighted Average Price (LWAP) represents the average execution price achieved when trading through all resting orders in the order book, up to a specified depth. For example, if you sell through the book down to 50 basis points away from the mid-price, LWAP calculates the average execution price for that trade.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].pair | string | The currency pair in question. |
| payload.data[index].timestamp | timestamp | This represents the timestamp. |
| payload.data[index].basisPoints(xx) | number | This shows the total size (in coin terms) at (XX) level of basis point depth from mid-price. |
| payload.data[index].basisPoints(xx)OrderCount | number | This shows the total resting orders at (XX) level of basis point depth from mid-price. |
| payload.data[index].bestBid(Ask)Price | number | This represents the best bid/ask price at the top of the order book. |
| payload.data[index].lwap(xx) | number | Liquidity weighted average price for (XX) basis points away from mid-price. |
| payload.data[index].lwap(xx)ExecutionVersusBBO | number | The difference between the best bid (best ask) and the lwap. |
| payload.data[index].lwap(xx)UsdMillion | number | The total executed size, in USD Millions, for the lwap. |
| payload.data[index].midPrice | number | The mid-price, between the best bid and best ask. |
| payload.data[index].slippage(xx)UsdVersusBBO | number | The slippage in USD of the lwap price and the best bid (best ask) if theoretically possible to execute the same size at the top of book. |
| payload.data[index].spreadPercent | number | The slippage between top of book and lwap, in percentage terms. |
Responses