Market analysis · Pro
Volume-weighted average price
Also searched as: VWAP
What does Volume-weighted average price mean?
Volume-weighted average price, or VWAP, is an average price weighted by traded volume over a chosen interval. A session VWAP restarts at its defined session boundary.
Example
Trades of one unit at 100 and three units at 102 produce a transaction VWAP of 101.50.
Illustrative example; not a provider’s quoted offer.Why it matters for prop traders
Chart implementations may approximate price inputs. Confirm the session, data source and reset settings when comparing charts or fills.
Sources and further reading
The following primary sources support the terminology. Provider rules describe their own products and may change.