Questions / Quant research, Take-home data cases
VWAP from a fills file
A buy order filled in three pieces. What is the VWAP?
price,qty
100.1,200
100.14,500
100.16,300Answer 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: 100.138 price
- Σ price × qty = 100,138.
- Σ qty = 1,000.
- VWAP = 100.138.
Interview shortcut. VWAP = Σ price × qty / Σ qty = 100,138/1,000.
Takeaway. VWAP weights each fill by size.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.