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Reuters launches Reuters Tick Capture for VWAP

Reuters has launched Reuters Tick Capture for Volume Weighted Average Price (VWAP) calculations.

VWAP is the key guide that ensures that market participants are getting the best price when they trade. The new addition will make it easier to apply VWAP consistently to trading algorithms and will already be configured for both primary and secondary exchanges globally.

Reuters believes that customers today require sophisticated and flexible benchmarks for their trades and portfolios, and they also want to take these calculations and make them available across the whole organization to trading applications and desktops. Reuters Tick Capture for VWAP meets this need by enabling any application or desktop to request customized VWAP or to track a basket of stocks or an index from any point in time. The product will then publish a streaming VWAP on demand. 

Reuters Tick Capture for VWAP is tightly integrated with Reuters real-time and historical tick by tick content and with Reuters Market Data System (RMDS). This means it can be deployed immediately without further development effort to provide industry standard VWAP analytics to any application on the RMDS platform. 

Powered by Vhayu Technologies, Reuters Tick Capture for VWAP can keep pace with rising update rates and can also be customized for proprietary analytics to meet specific trading situations. 

'VWAP continues to be amongst the most widely used trading algorithms today,' says Marie Giangrande, VP Strategic Alliances for Reuters. 'This has been driven by the industry's increasing focus on transaction cost analysis as a way of adding value as well as dealing with the growing regulation around best execution. The ability of the Reuters Tick Capture for VWAP to provide a consistent VWAP to all these disciplines will be welcomed by many market players to whom it offers a real competitive advantage.'

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