# Crypto VWAP input audit worksheet

> Blank research record. This worksheet does not fetch market data, choose a trading window, validate venue fields, or recommend a trade. Keep account credentials and private records out of shared copies.

## 1. Identify the exact market data

- Venue or provider and official endpoint / chart symbol:
- Spot, dated future, perpetual, or other product:
- Exact pair or contract, base currency, quote currency and settlement currency:
- Request interval, returned timestamp convention and query timezone:
- Data access date (UTC), documentation URL and saved schema version:
- Raw price inputs used (trade price, OHLC typical price, or other):
- Raw volume field name / tuple position and its documented unit:
- If quote turnover is supplied, record its currency and conversion rule:
- If volume is contracts, record multiplier and contract exposure definition:
- Preserve raw response or file hash / storage location:

## 2. Freeze the calculation

- VWAP definition and price input:
- Weighting quantity after any documented conversion:
- Reset rule, anchor selection method, timezone and daylight-saving rule:
- Included start and end timestamps; bar-open or bar-close convention:
- Missing, duplicate, revised and zero-volume row policy:
- Open-bar policy and signal timestamp (if used as a rule input):
- Earliest modeled order time / eligible entry price:
- Fee, spread, slippage and other cost assumptions:
- Formula or code version / hash:

Write the calculation explicitly, including units:

VWAP = sum(price_i × chosen_quantity_i) / sum(chosen_quantity_i)

If you substitute quote turnover for base quantity, label the output as a different weighting method. Do not silently treat a derivative contract count as underlying units.

## 3. Reconcile one interval before expanding

| Row time UTC | Price input | Raw volume field | Raw value | Raw unit | Converted quantity | Price × quantity | Included? | Reason / source row |
|---|---:|---|---:|---|---:|---:|---|---|
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |

- Independently summed numerator and unit:
- Independently summed denominator and unit:
- Recomputed VWAP and quote currency:
- Missing or excluded rows and their reasons:
- Difference from provider/chart value and unresolved explanation:

## 4. Preserve the research variants

| Version | Reset / timezone | Price input | Weight unit | Feed | Signal timing | Entry model | Costs | Later evaluation window | Result / limitation |
|---|---|---|---|---|---|---|---|---|---|
| | | | | | | | | | |

- [ ] Save every tested reset and input variant; do not retain only the best result.
- [ ] Keep open-bar observations separate from final closed-bar values.
- [ ] Model an entry only after the signal value is knowable.
- [ ] Keep provider VWAP, bar approximation and trade-level VWAP labels distinct.
- [ ] Treat missing volume or a zero denominator as unknown / undefined, not as a signal.
- [ ] Compare later observations after rules and assumptions are frozen.

Strategy, dataset and code version:

Prepared by / date (UTC):

Limitations and next review date:

This worksheet supports reproducible research. It does not establish execution quality, a profitable edge or future results.