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.
Formule
VWAP_t = Σ(P_i · V_i) / Σ(V_i) for i = session start ... t
Exemple
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.
Comment Noon Barbari utilise Volume-weighted average price (VWAP)
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See the indicators reference →Termes liés
- Indicateurs
Moving average
A rolling average of price over a fixed window, used to smooth noise.
- Indicateurs
Volume moving average
A moving average of bar volume, used to detect above-average participation.
- Indicateurs
Simple moving average (SMA)
Unweighted arithmetic mean of the last N closes. Every bar counts equally.
- Indicateurs
Exponential moving average (EMA)
Weighted moving average that gives recent bars exponentially more weight.