nice little earner. vwap statistics

  1. 698 Posts.

    OK, so I did a quite a bit of googling and it turns out that the "official methodology" for calculating VWAP on ASX shares is a state secret.

    Divulgence of said methodology is punishable by being stripped naked and flagellated with a limp fish, but apparently it's covered by another acronym (NDC-no idea what that means. Certainly doesn't sound like a useful thing).

    Anyway, if you've got a cool $250 you can buy a year's supply of VWAPs from the ASX, or one of their middlemen. And this gives you access to the vwaps for every stock, not just the 30 odd days you want on the one stock your interested in. Great value. I think I'll buy 2 of those.

    Anyway, reading between the lines, it seems like the VWAP is calculated each day on a transaction by transaction basis with I'm guessing some types of transactions excluded, this being the top secret bit presumably. I don't know this for for a fact but it seems logical and ties in with the limited information published by the ASX.

    I think there are some financial types, or company directors, on the forum who would probably have enough knowledge to provide a confirmation here. But wait...that would mean said financial type would have to own up to being a shark, wouldn't it. Wouldn't want people to discern that there might be a teensy, weensy conflict of interest would we?

    Of course the smarter ones would realize they could end up being spanked with a dead fish for divulging such highly classified information; there are probably at least a couple in the latter category posting on HC me thinks. I guess that's why I got such a lousy response to my original question.

    Thanks for trying NewCar. And good luck with that; remember, the secret society are always there to slice off their 5%.
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