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Blocksize 24-Hour VWAP Methodology

Blocksize's 24-Hour VWAP is a volume-weighted average price calculated across a rolling 24-hour window, aggregated from every accepted exchange for a given pair. This page documents how it is calculated, the contingency rules that apply when data is missing, and how data quality is maintained. It is used for daily marks, valuation and reporting where a single-timestamp price is not enough.

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Version 1.6 · Valid from 22 April 2025

Download the full methodology here

Introduction

Blocksize produces the 24-Hour VWAP data feed as part of its crypto market data offering. All data points are converted and delivered in U.S. Dollars, Euros and other currencies across an expanding set of cryptocurrencies and digital asset classes.

The 24-Hour VWAP feed is designed to be a transparent, independent pricing source that supports efficient markets, reduces information asymmetry between participants, and helps establish crypto as an asset class held to the highest standards.

It is used across financial market workflows, including pricing securities, trade execution, algorithmic trading, high-frequency trading, risk management, research and analysis, market surveillance, and news analytics.

The feed is calculated using a transparent, robust methodology governed by the Blocksize Data Committee, with a clear framework of policies and procedures aligned to international best practices.

Calculation of Volume-Weighted Average Prices

The 24-Hour VWAP is calculated as follows:

  1. For each accepted market, calculate the volume-weighted sum of prices — Σⱼ (pⱼ × vⱼ) — from observable transactions, denominated in units of the given asset.

  2. Calculate the aggregate volume across all accepted markets — Σⱼ vⱼ — referred to as the volume weight.

  3. Divide the volume-weighted sum of prices by the total volume weight to obtain the VWAP:

P(VWAP) = Σⱼ (pⱼ × vⱼ) / Σⱼ vⱼ

Data Contingency Rules

These rules address situations where data is delayed, missing or unavailable — during low liquidity, extraordinary market conditions, or factors beyond Blocksize's control.

  1. If trade events from an accepted market can't be collected due to a technical problem at that exchange (such as malformed data), those events are excluded from that instance of the feed.

  2. If no trade events from an accepted market exist during the current 24-hour timeframe, the feed relies on the other accepted markets for its calculation.

  3. If none of the accepted exchanges report observable trade events, the feed does not report a newly calculated price; in that case the price is computed from the last observed trade events.

Data Quality Assurance

Observed trade events and markets are evaluated by the Data Committee. If errors or anomalies are detected, the data is removed from future calculation of the 24-Hour VWAP feed.

The Data Committee may include trade event data from new sources vetted for integrity and quality, or exclude previously accepted markets that begin delivering erroneous or anomalous data. Any change is approved by the members of the Data Committee and communicated to users where relevant.