Interval Time Average Price

04 Jan 2021
Date submitted
04 Jan 2021
Resource type
Best practice
File type
pdf PDF file (514.14K)
This paper details a solution to the absence of reliable volume weighted average price (VWAP) data in
over-the-counter (OTC) foreign exchange markets: The Interval Time Average Price (ITAP). The
methodology can be used to evaluate trading costs in OTC foreign exchange, even in cases where time
stamps may not be available in the trade history. The ITAP method produces an unbiased measure of
currency trading costs.
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