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
FieldTypeDescription
payload.metadata.api-versionstringVersion of the API.
payload.data[index].exchangestringThe name of the exchange.
payload.data[index].pairstringThe currency pair in question.
payload.data[index].timestamptimestampThis represents the timestamp.
payload.data[index].basisPoints(xx)numberThis shows the total size (in coin terms) at (XX) level of basis point depth from mid-price.
payload.data[index].basisPoints(xx)OrderCountnumberThis shows the total resting orders at (XX) level of basis point depth from mid-price.
payload.data[index].bestBid(Ask)PricenumberThis represents the best bid/ask price at the top of the order book.
payload.data[index].lwap(xx)numberLiquidity weighted average price for (XX) basis points away from mid-price.
payload.data[index].lwap(xx)ExecutionVersusBBOnumberThe difference between the best bid (best ask) and the lwap.
payload.data[index].lwap(xx)UsdMillionnumberThe total executed size, in USD Millions, for the lwap.
payload.data[index].midPricenumberThe mid-price, between the best bid and best ask.
payload.data[index].slippage(xx)UsdVersusBBOnumberThe 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].spreadPercentnumberThe slippage between top of book and lwap, in percentage terms.


Language
Credentials
Header
Click Try It! to start a request and see the response here!