> For the complete documentation index, see [llms.txt](https://docs.kaiko.com/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://docs.kaiko.com/cloud-delivery/cefi-spot-market-data/vwap.md).

# VWAP

{% hint style="info" %}

### This data is included in the following Kaiko packages

* Level 1 & Level 2 Data \[Level 1 Aggregations Tier]
* Level 1 & Level 2 Data \[Level 1 Tick-Level Tier]
* Level 1 & Level 2 Data \[Level 2 Aggregations Tier]
* Level 1 & Level 2 Data \[Level 2 Tick-Level Tier]

*CeFi spot ticker packs.*
{% endhint %}

## What is this dataset?

This dataset offers aggregated VWAP (volume-weighted average price) history for an instrument on an exchange.

### File structure details

* The time granularity that we provide through CSV files is `1min`, `5min`, `10min`, `15min` and `30min` for monthly grouped CSV files, while `1hour`, `4hour` and `1day` for yearly grouped CSV files.
* File Name: \[kaiko\_legacy\_slug]\_\[data\_feed\_code]\_vwap\_\[time\_granularity]\_\[date].csv<br>
  * Files are created on a daily basis, but complete as a month or year ends
  * example: bw\_btcusdt\_perp\_vwap\_5m\_2023\_02.csv, bw\_atomusdt\_perp\_vwap\_1h\_2023.csv
* Cut-off datetime:
  * Monthly grouped files: The mid-night of the last day of the month
  * Yearly grouped files: The mid-night of the last day of the year
* Column Delimiter: , (comma)
* Decimal Mark (in numbers): . (dot)
* There are no column headers in the CSV files, so I will present the columns in order from left to right.

### Fields

| Column                                                                              | Description                                                                                                                                                                                                 | Example         |
| ----------------------------------------------------------------------------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | --------------- |
| `timestamp`                                                                         | The starting timestamp of the time interval, expressed in Unix Timestamp (in milliseconds)                                                                                                                  | `1672531200000` |
| `vwap`                                                                              | The volume weighted price during the time interval. `null` when no trades reported.                                                                                                                         | `0.4935`        |
| <p><code>exchange</code></p><p><br><strong>BigQuery and Snowflake only</strong></p> | <p>Exchange <code>code.</code></p><p><br>See <a href="https://docs.kaiko.com/kaiko-rest-api/data-feeds/reference-data/exchange-codes">Exchange codes</a></p>                                                | `cbse`          |
| <p><br><strong>BigQuery and Snowflake only</strong></p>                             | <p>Instrument <code>code</code>.<br><br><a href="https://docs.kaiko.com/kaiko-rest-api/data-feeds/reference-data/exchange-trading-pair-codes-instruments">Exchange trading pair codes (instruments)</a></p> | `btc-usd`       |
| <p><code>interval</code><br><br><strong>BigQuery and Snowflake only</strong></p>    | The interval parameter is suffixed with `s`, `m`, `h` or `d` to specify seconds, minutes, hours or days, respectively.                                                                                      | `1h`            |


---

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