Volume-Weighted Average Price (VWAP) is the cumulative product of price and volume divided by cumulative volume, typically reset at the start of each trading day. Each bar contributes proportionally to how much actually traded — a 100-share print and a 1,000-share print do not weigh the same.
VWAP is the most common institutional execution benchmark: an order is 'filled at VWAP' if its average execution price equals the day's VWAP. Buy-side traders work child orders into the day to track it; brokers offer VWAP execution algorithms specifically for this.
Retail traders also use VWAP as an intraday mean-reversion level — fades back to VWAP and bounces off it are common scalping setups. Crypto markets, which trade 24/7, often anchor VWAP to a session boundary or a recent swing rather than midnight.
Fórmula
VWAP_t = Σ(P_i · V_i) / Σ(V_i) for i = session start ... t
Ejemplo
Trades so far today: 100 shares @ 50, then 200 shares @ 51, then 100 shares @ 49. VWAP = (100·50 + 200·51 + 100·49) / 400 = 20,400 / 400 = 51.
Cómo Noon Barbari usa Volume-weighted average price (VWAP)
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