VWAP glossary: every term defined

Short definitions of the terms used across this guide series, in alphabetical order. Terms with a regulatory meaning cite the rule, guidance note or market document that fixes it; ordinary market vocabulary is glossed in plain English and cites nothing. Where a term carries a fuller treatment, the entry links to the guide that gives it, and that guide governs.

• Adjust Session State. An ASX trading session state, defined elsewhere in the ASX rulebook and not in any extract held here. Unless ASX otherwise determines and notifies, Procedure 3320 sets the period for transactions outside trading hours as the time during it in the circumstances prescribed by rule 6.2.4 of the ASIC rules, and the time after it until the next trading day's Pre_Open Session State (ASX Operating Rules, Procedure 3320).
• Anchor date. The date a rule's window is counted back from. Under rule 7.1A.3 it is the date the issue price is agreed with the recipient, or the issue date where the securities are not issued within 10 trading days of that date (ASX Listing Rule 7.1A.3).
• Appendix 3B. The ASX form lodged when an entity announces a proposed issue of equity securities. For an issue under rule 7.1A it prompts the entity to send its ASX Listings Compliance adviser a work sheet stating the pricing date, the pricing period and the VWAP for the relevant class, and to identify the source of its VWAP calculation (ASX Guidance Note 21).
• ASX market. One of the two markets named in the VWAP definition. The trade set covers trades executed on it and trades reported to it (ASX Listing Rule 19.12).
• ASX TradeMatch. The order book operated by ASX that ASIC's rules define as the central order book of ASX for equity market products (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.4.3).
• ASX VWAP Update flag. The column in ASX's condition-code table recording whether a trade type updates the VWAP that ASX itself publishes, Y for updates and N for does not (ASX trade condition codes, v3.7). It is not the Listing Rule test (multi-venue trading).
• Auction. A matching event run at set points in a session. Trading hours include a time during which an auction is conducted (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.4.3), and no LR 19.12 exclusion names an auction, so auction trades are in the sum (which trades count and which are excluded).
• Block trade. A transaction typically done away from the order book with one participant handling both sides, with consideration not less than $1,000,000 for Tier 1 equity market products, $500,000 for Tier 2 and $200,000 for Tier 3. Excluded from VWAP (ASX Listing Rule 19.12; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.1). Codes carrying the word "block" are not all instances of it (which trades count and which are excluded).
• Cancelled trade. A trade that printed and was later busted. LR 19.12 says nothing about cancellations (ASX Listing Rule 19.12), and ASX's table records a cancellation as a separate row carrying the same attributes as the original trade (ASX trade condition codes, v3.7), so handling them is a data question that still has to be answered.
• Cboe Australia. The middle of the second exchange's three names, between Chi-X Australia and TMX Australia Exchange, with no change to the entity holding the market licence (TMX Australia Exchange Operating Rules).
• Centre Point. An ASX matching facility whose trades arrive under condition codes of their own. Its rows are flagged as updating ASX VWAP, apart from a booked transaction resulting from Unintentional Crossing Prevention (ASX trade condition codes, v3.7). See multi-venue trading.
• Chi-X market. The name LR 19.12 still uses for the second market (ASX Listing Rule 19.12). Its operator directs that instruments referring to Chi-X be read interchangeably with TMX (TMX Australia Exchange Operating Rules).
• Condition code. A code attached to a trade record describing how the trade was executed or reported. ASX publishes the list and its VWAP-update mapping (ASX trade condition codes, v3.7).
• Consolidated data (consolidated basis). A trade record spanning both markets named in the definition, as against an ASX-only record taking the ASX market alone. The definition names two markets (ASX Listing Rule 19.12); multi-venue trading covers how the two bases are handled in practice.
• Corporate action. A consolidation, split or bonus issue changes the units that prices and volumes are quoted in, so a window spanning one mixes two scales in the same division (common mistakes).
• Crossing. A transaction with the same participant on both sides. ASX permits two on-book shapes during the Open Session State, on different conditions (ASX Operating Rules, Procedure 4060); on-book crossings carry XT and update ASX VWAP (ASX trade condition codes, v3.7).
• Dark venue. Market vocabulary for a venue or order type where orders are not displayed before they trade. No rulebook cited in this guide series uses the word (multi-venue trading).
• Eligible entity. An entity which, as at the date of the relevant special resolution under rule 7.1A, is not included in the S&P/ASX300 Index and has a market capitalisation equal to or less than the prescribed amount (ASX Listing Rule 19.12). An eligible entity may seek the additional 10% placement capacity (ASX Listing Rule 7.1A).
• Entitlement offer. A pro rata offer of new securities to existing holders in proportion to their holdings. No rule extracted in this guide series prices one off a VWAP; where an offer is VWAP-priced, the offer terms fix the window.
• Escrow. An arrangement under which securities cannot be sold or transferred until a set period ends or a condition is met. Not a VWAP concept, though it turns up in the same transaction documents.
• Ex date. The first day securities trade without an entitlement to a declared dividend or distribution. Units do not change, so nothing needs restating, but a window straddling the date blends two price levels (common mistakes).
• Exchange traded option exercise. Delivery of stock at an option's strike when the option is exercised. The sixth excluded category, and the only one whose meaning the entry borrows from nowhere (ASX Listing Rule 19.12); reports as EC and ECXT for calls and EP and EPXT for puts (ASX trade condition codes, v3.7).
• Guidance Note. ASX's published guidance on how it applies parts of the Listing Rules. Guidance Note 21 covers the Chapter 7 restrictions on issuing equity securities (ASX Guidance Note 21) and Guidance Note 19 covers performance securities (ASX Guidance Note 19).
• Large portfolio trade. A basket bought or sold under a single agreement, with total consideration of at least $5,000,000 across at least 10 different classes and at least $200,000 in each of those classes. Excluded from VWAP (ASX Listing Rule 19.12; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.2).
• Late trade. A trade reported late, coded LT, LTXT, L5 and L5XT and flagged not to update ASX VWAP (ASX trade condition codes, v3.7). A late report of an in-session trade is not one of the six categories LR 19.12 names (which trades count and which are excluded).
• Listing Rules. ASX's rulebook for listed entities. Chapter 19 holds the definitions, including "volume weighted average market price" and "trading day" (ASX Listing Rule 19.12).
• Lit market. Market vocabulary for trading on a displayed order book. No rulebook cited in this guide series uses the word; the rulebook expression is pre-trade transparent (ASIC Market Integrity Rules (Competition in Exchange Markets) 2011, rule 4.1.1).
• Market integrity rules. Rules ASIC makes under subsection 798G(1) of the Corporations Act, applying to the activities or conduct of the markets, of persons in relation to them, and of persons in relation to the financial products traded on them (ASIC Market Integrity Rules (Securities Markets) 2017, rules 1.1.1 and 1.1.4). LR 19.12 borrows five of its six excluded trade type meanings from the 2011 competition instrument (ASX Listing Rule 19.12), which was repealed with effect from 7 May 2018 (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.1.3A).
• OHLC data. A daily summary carrying open, high, low, close and volume. It holds no individual trades, so the LR 19.12 exclusions cannot be applied to it (which trades count and which are excluded).
• On-market. Chapter 19 carries no current definition of the expression: the old "on-market buy-back" entry was deleted in 1999, and rule 10.16 takes the meaning of "on-market" in that rule from section 9 of the Corporations Act (ASX Listing Rule 19.12). Venue scope under the VWAP definition is a question about two named markets (the ASX VWAP definition).
• Open Session State. An ASX trading session state, defined elsewhere in the ASX rulebook and not in any extract held here. Procedure 4060 permits two shapes of on-book crossing during it (ASX Operating Rules, Procedure 4060).
• Order book. The record of bids and offers on a market where orders are matched. A transaction entered into otherwise than by matching orders on an order book must be reported (ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.3.1).
• Out of hours trade. A trade entered into after the post-trading hours period on a trading day and before the pre-trading hours period on the next, on the conditions the rule sets. Excluded from VWAP (ASX Listing Rule 19.12; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.6).
• Pegged order. One of the two order types admitted on the second exchange, referenced to a source specified in that market's procedures (TMX Australia Exchange Operating Rules, rule 4.5).
• Performance securities. Equity securities whose conversion or vesting turns on a milestone being met (a working gloss, not the guidance's wording; GN 19 answers the question in its own terms, ASX Guidance Note 19). Where the milestone is a price hurdle, ASX recommends expressing it as a VWAP over a reasonable period (ASX Guidance Note 19). See special cases and rule-specific windows.
• Permitted trade during the post-trading hours period. A trade in the post-trading hours window that fits one of five permissions: completing an order received before the end of trading hours, a bona fide hedge, an order that narrowly missed the closing auction, an error rectification, or a transfer between nominees for the same funds manager. Excluded from VWAP (ASX Listing Rule 19.12; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.4).
• Permitted trade during the pre-trading hours period. A trade in the pre-trading hours window with the participant on both sides, an overseas resident client involved, and a stock market maintained by a recognised stock exchange in that client's country of residence open for trading at the time. Excluded from VWAP (ASX Listing Rule 19.12; ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.5).
• Placement. An issue of equity securities to selected investors rather than to holders generally. Rule 7.1 limits placements made without security holder approval to 15% (ASX Guidance Note 21).
• Placement capacity, additional 10% (LR 7.1A). Capacity an eligible entity's holders may approve by special resolution at an annual general meeting, on top of the 15% limit (ASX Listing Rule 7.1A). Securities issued under it must be in an existing quoted class and priced at not less than 75% of the volume weighted average market price over the 15 trading days on which trades in that class were recorded immediately before the anchor date (ASX Listing Rule 7.1A.3). See special cases and rule-specific windows.
• Portfolio special crossing. The ASX mechanism for a large portfolio trade, defined by Procedure 4810 (ASX Operating Rules, Procedure 4810). Reports as SXXT, flagged not to update ASX VWAP (ASX trade condition codes, v3.7).
• Post-trading hours period. The 30 minutes following the end of trading hours where every market quoting the product keeps the same hours, and from the earliest close to 30 minutes after the latest close where they do not (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.4.3).
• Pre-trade transparent. Of an order, visible before it trades. A relevant participant must not enter into a transaction except by matching a pre-trade transparent order on an order book, subject to a list of six exceptions (ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.1.1). The repealed 2011 instrument carried the same obligation and the same six limbs (ASIC Market Integrity Rules (Competition in Exchange Markets) 2011, rule 4.1.1, repealed).
• Pre-trading hours period. For an equity market product, from three hours before the start of trading hours for ASX TradeMatch until 15 minutes before that start (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.4.3).
• Prescribed amount. The maximum market capitalisation ASX determines an entity may have and still be eligible to seek the additional 10% placement capacity under rule 7.1A. It was $300 million as at 1 December 2019 (ASX Listing Rule 19.12).
• Related party. A person in a position of influence whose dealings with the entity fall under Chapter 10. Rule 10.11 requires approval for an issue of equity securities to one, and the chapter's only VWAP pricing floor sits in Exception 4 to that rule (ASX Listing Rules Chapter 10).
• Share purchase plan (SPP). Called a security purchase plan in the rules. Exception 4 to rule 10.11 takes an SPP issue outside the related party approval requirement on conditions including an issue price of at least 80% of the volume weighted average market price over the last 5 days on which sales in the securities were recorded before the day on which the issue was announced, or the day on which the issue was made (ASX Listing Rule 10.12, Exception 4). See special cases and rule-specific windows.
• Special crossing. A crossing effected at any time at a price negotiated on account of two clients or agreed between client and participant, and reported afterwards (ASX Operating Rules, Procedure 4810). A rule 6.2.1 block trade may be effected this way; the family reports as SCXT, ETXT and CTSPXT, flagged not to update ASX VWAP (ASX trade condition codes, v3.7).
• Tick data. Trade-by-trade market data rather than a daily summary. See time and sales.
• Time and sales. One row per executed trade, with price, volume, timestamp and condition codes. The input an exact ASX VWAP needs (which trades count and which are excluded).
• TMX Australia Exchange. The current name of the second licensed market for ASX-listed shares, formerly Cboe Australia and before that Chi-X Australia, the same licensed entity throughout (TMX Australia Exchange Operating Rules). See multi-venue trading.
• Trade reporting. A reporting participant must report post-trade information for a transaction entered into otherwise than by matching orders on an order book (ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.3.1), and trades reported to a market count as trading on that market for the VWAP definition (ASX Listing Rule 19.12).
• Trade with price improvement. A transaction that meets the rule's price test, being priced inside the spread by one or more price steps or at the mid-point, and that also satisfies its limbs on participant capacity where the trade is off-book, and on consideration being greater than zero. One of the six pre-trade transparency exceptions in the ASIC rules (ASIC Market Integrity Rules (Securities Markets) 2017, rule 6.2.3; rule 6.1.1). It is the one exception LR 19.12 does not borrow (ASX Listing Rule 19.12), so a trade inside the spread or at the mid-point is not excluded on that ground (which trades count and which are excluded).
• Trading day. A day determined by ASX to be a trading day and notified to market participants, which rules out weekends and the named public holidays and any other day ASX declares is not one (ASX Listing Rule 19.12). A day on which a particular security did not trade is still a trading day.
• Trading hours. The times when orders may be entered on a market's order books and are matched continuously, including a time during which an auction is conducted (ASIC Market Integrity Rules (Securities Markets) 2017, rule 1.4.3).
• Typical price method. An approximation used where trade-level data is not available: (high + low + close) / 3 for each day, weighted by that day's volume. It cannot apply the LR 19.12 exclusions (how VWAP is calculated).
• Value traded. Price multiplied by volume on a trade, and the numerator of a VWAP (how VWAP is calculated).
• Volume weighted average market price. The Listing Rules' defined term, of which VWAP is the shorthand: the volume weighted average price of trading in the securities on the ASX market and the Chi-X market over the period, excluding six named trade types (ASX Listing Rule 19.12). See the ASX VWAP definition.
• VWAP. Total value traded divided by total volume traded over a period (what is VWAP?). Not a defined expression in the Listing Rules, which define the figure under the name volume weighted average market price (ASX Listing Rule 19.12).
• Window. The period a VWAP is calculated over, fixed by the rule or document that invokes the figure rather than by the definition (ASX Listing Rule 19.12). A VWAP quoted without its window cannot be checked (common mistakes).