Let’s say an order for 10,000 is being submitted. The depth of market window highlights the applicable levels. To calculate the resulting Volume Weighted Average Price for this order, first multiply each level’s price by the number of units at that level. Continue down the depth until all of the order quantity has been filled and then sum up the total. In this example, we do not need to use the fifth level, (price 140), as the requested number of units is satisfied from the first four levels. This results in a notional value of 1,220,000 for the order. 2. Next, divide the notional value by the quantity of units of the order to obtain a VWAP price. In this case, it’s 10,000: This gives an order “VWAP” price of 122.