fixparser/types/fieldtypes/AveragePriceType.d.ts

FIX.Latest / 5.0 SP2 Parser / AI Agent Trading

/**
 * The average pricing model used for block trades.
 * - Tag: 2763
 * - FIX Specification type: int
 * - Mapped type: number
 * @readonly
 * @public
 */
export declare const AveragePriceType: Readonly<{
    /** Time weighted average price
        TWAP is the simple average price of a security over a specified time without regard to the volume traded. */
    readonly TimeWeightedAveragePrice: 0;
    /** Volume weighted average price
        VWAP is the sum of the currency amount traded for all trades in the averaging group (price times quantity) divided by the total quantity. */
    readonly VolumeWeightedAveragePrice: 1;
    /** Percent of volume average price
        POV is the sum of the currency amount traded for all trades executed as part of an order intended to purchase a specified percentage of the total volume of an instrument, divided by the total quantity. */
    readonly PercentOfVolumeAveragePrice: 2;
    /** Limit order average price
        The limit order average price is the currency amount of all trades executed to fill a limit order, divided by the total quantity. */
    readonly LimitOrderAveragePrice: 3;
}>;
export type AveragePriceType = (typeof AveragePriceType)[keyof typeof AveragePriceType];