GlossaryAdvanced
VWAP
Volume-Weighted Average Price — the average price of an asset weighted by trading volume over a period.
Volume-Weighted Average Price (VWAP) is the average price of an asset over a given period, weighted by the volume traded at each price, giving more influence to prices where more trading actually occurred.
It's commonly used as a benchmark to assess whether a specific trade's execution price was favorable relative to the broader period's activity.
Examples
- A large order executed below VWAP for a buy (or above VWAP for a sell) is generally considered a favorable execution.
- VWAP weights each price by how much volume actually traded there, not simply by time.