Calculation of the "60 day VWAP"
The "60 day VWAP" is defined to be the volume-weighted average price
(VWAP) of all on-orderbook trades executed during the last 60 trading days.
That is to say, if in the following formula v is the volume of an
individual trade and p is the price:
Since, for a given trading day,
is the total on-orderbook turnover for the day, and
is the total on-orderbook volume for the day, the 60 day VWAP is given by
In the case or a capital restructuring of the security during the 60 day
period the equation is modified to
Where Ri is the adjustment factor
(sometimes called the "R-factor") which is defined as the
ratio of the new share price, after the corporate action, and the old
share price, before the corporate action. For example, for a stock split
at the ratio 1:10, R = 0.1.
The VWAP is calculated as part of the end-of-day processing at SIX Swiss Exchange.
In a small number of cases mistrades can be reported on the following traded day.
When the VWAP is calculated these cases are unknown for the final day out of the
60 days and so naturally can not figure into the calculation. To ensure the reproducibility
of the VWAP calculation the value given for a trading date T explicitly excludes the
contribution from possible mistrades reported at T+1.