What is weighted average pricing? How do I report a weighted average price trade?
Weighted average pricing is a means of establishing the price per bond when a large (block) order is filled by executing smaller transactions in the desired security during a given period by a broker-dealer in order to accumulate the total volume of bonds required to fill the order. In such cases, the price per bond is established by weighting the average of the various prices at which the partial transactions were executed. When this weighted average is reported, it may no longer be reflective of the current market price at the time of the final sale to the customer, and so the “.w” modifier must be added to the trade report so TRACE will properly report to the tape.
Related Questions
- Should we report a weighted average for the average length of stay for both Subpart 1 and Subpart 2? What is the purpose of the weighted average?
- How can I find out the specific 15 days that were selected to determine the $35.3441 average volume weighted price?
- What is weighted average pricing? How do I report a weighted average price trade?
