Consensus Window
A consensus window is the time period used to compute a market-consensus probability, such as VWAP over the last 6 hours or the mid price snapshot at close.
Definition
A consensus window is the time period you use to compute a reference probability from market data. Instead of picking one instant price, you aggregate over a defined window.
Examples
• VWAP over the last 24 hours before market close
• Average mid price from T-6h to T-1h
• Snapshot mid price exactly at close (a window of length 0)
Why it matters
Window choice changes the benchmark. Short windows are more sensitive to noise and manipulation. Longer windows are smoother but may lag new information.
Related
Consensus windows connect to market consensus, VWAP, mid price, and thin market conditions.