Questions / Quant development, Streaming market data
Maintain the VWAP invariant
An active window contains 2 units traded at 102 and 3 units at 100. What is VWAP?
Answer it in the app It's free. You get hints, a second try if you miss, and a follow-up question.
Show the answer and worked solution
Answer: 100.8 price
- Keep notional and quantity separately: 2 × 102 + 3 × 100 = 504, and 2+3=5.
- VWAP is total notional divided by total quantity: 504/5=100.8.
- The answer lies between 100 and 102 and is closer to 100 because more volume traded there.
Interview shortcut. Keep notional and quantity; VWAP = 504/5.
Takeaway. Check both the weighted calculation and its location within the price range.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.