Calculation of VWAP Bid and VWAP Offer


The calculation of the TDOL/TIRS1 mid is based on the first 50K DV01 of orders at the best levels available.  In this methodology, DV01 is approximated from the following table containing the 'sociable' sizes agreed by the founders.  This simplifies the calculations and permits easy reconstruction and replication of the calculations at a later date. 


Instrument Spreadover
2y 200 million
3y 150 million
4y 100 million
5y 100 million
6y 100 million
7y 75 million
8y 75 million
9y 75 million
10y 50 million
11y 50 million
12y 50 million
13y 25 million
14y 25 million
15y 25 million
16y 25 million
17y 25 million
18y 25 million
19y 25 million
20y 25 million
21y 25 million
22y 25 million
23y 25 million
24y 25 million
25y 25 million
26y 25 million
27y 25 million
28y 25 million
29y 25 million
30y 25 million

If there is insufficient size at the best bid (offer) level, size is taken from the next bid (offer) level, and so on, until the above size has been reached.  The size-weighted average is then calculated and rounded to 6 decimal places (basis points).  If there is insufficient size to create a VWAP bid (offer) of the required DV01 size, the bid (offer) is considered 'missing'.

This process produces a VWAP bid offer pair that is the input to the mid calculation method described below:



7y Spread Over Order book (7y 50k DV01 = 75m)

50m / 20 100m / 20.25
50m / 19.75 -

The bid side of the order book above only has 33 K DV01 at the best price of 20 so the VWAP calculation would be (50*20+25*19.75) / (50+25) = 19.916667 after rounding to 6 decimal places.



The underlying principal is that the TDOL/TIRS1 mid price is sticky - it moves the minimum necessary to remain consistent with the following rules, and may not move at all.  A trade sets the mid to the trade level, but that mid can then change immediately depending on the post-trade bid and offer levels.  

  1. Calculations are based on live Trad-X order book depth and trade information, and the previous mid level only.
  2. The arithmetical mid of the VWAP bid and offer is calculated first.
  3. If this produces a non ¼ point level, the ¼ increment closest to the last mid is chosen.
  4. a.) If there is only a one-sided market in a ¼ increment, the arithmetical mid is calculated as bid +1/4bp or offer-1/4bp.
    b.) If there is only a one-sided market in a 1/8 increment, the arithmetical mid is calculated as bid +1/8bp or offer-1/8bp
  5. If both the VWAP bid and offer are missing, the mid stays unchanged.
  6. Outside of Trad-X hours, the mids will be updated manually by voice broking desks (i.e. Asia and London).
  7. If the platform is unavailable during Trad-X hours, the page will not update and "indicative only" will be displayed until the platform is re-established and the book is repopulated.




  1. B is the VWAP bid.
  2. A is the VWAP ask/offer.
  3. T is last trade. M is last-calculated mid sent to TDOL/TIRS1.
  4. T and M are always in 0.25 increments, but in general B and A are not.
  5. B is always < A i.e. no choice or reversed markets. 



There are 2 types of events:

  1. Changes to A and/or B (Price change event).
  2. New trade at T (Trade event).

M can only change after one of these 2 events. An overfill trade (e.g. offer in 200m takes out 100m bid) is processed as a trade event followed by a residual order event.



**If the constraints change the rules below may also change**

After a Price Change Event:

  1. If neither of A or B is missing, then the arithmetic mid is X = (B + A) / 2.
  2. If X is not a 0.25 increment then new M = the rounded value closest to last M
  3. If X is a 0.25 increment, new M = X.
  4. Where B or A is missing, but not both, X = B+0.125/.25 increment dependent (A missing) or A-0.125/0.25 increment dependent (B missing), new M = the rounded value of X closest to last M.
  5. Where B and A are both missing, mid is the last M.

 After a Trade Event:

  1. M is set to the trade level T.



Step Event Bid Ask Mid Rule Applied
1 Initial State 20 20.5 20.25 -
2 Offer Changes 20 20.25 20.25 Price event 2
3 Offer Changes 20 20.75 20.25 Price event 2
4 Offer Changes 20 20.25 20.25 Price event 2
5 Offer Changes 20 21 20.5 Price event 3
6 Offer Changes 20 20.75 20.5 Price event 2
7 Bid Changes 20.25 20.75 20.5 Price event 3
8 Offer Changes 20.25 20.5 20.5 Price event 2
9 Trade at 20.25 - - 20.25 Trade event 1
10 Bid at 20.25 20.25 - 20.50 Price event 4
11 Offer at 20.5 20.25 20.5 20.50 Price event 2
12 Bid pulled - 20.5 20.25 Price event 4
13 Offer pulled - - 20.25 Price event 5
14 New bid 19.75 - 20 Price event 4