GlossaryIntermediate
Volume-Weighted Average Price (VWAP)
The average price of an asset over a session, weighted by the volume traded at each price level, commonly used as an execution-quality benchmark.
Volume-Weighted Average Price (VWAP) calculates the average price an asset traded at over a given session, weighting each price level by the volume that actually traded there, rather than treating every price point equally.
VWAP is commonly used as a benchmark for execution quality — a large buy order filled below VWAP, or a large sell order filled above it, is generally considered a comparatively favorable execution relative to the session's actual volume-weighted average. See Kaavon's dedicated VWAP article for the full calculation.
Examples
- Institutional traders commonly use VWAP as a benchmark to evaluate whether a large order was executed at a favorable average price relative to the session.
- Unlike a VWMA's rolling calculation across many periods, VWAP is typically calculated fresh for a single session, such as one trading day.