Volume-Weighted Average Price — the institutional benchmark for trade execution quality.
Typical Price = (High + Low + Close) / 3
Resets at the start of each trading day (intraday indicator).
• Price > VWAP → buyers in control, upward pressure
• Price < VWAP → sellers in control, downward pressure
• Algorithmic traders use VWAP to minimize market impact
Each day’s typical price (high + low + close) / 3, weighted by its volume, from day 1. Over the 15 days 1,043,000 shares traded with a typical-price value of 108,266,700, so VWAP = 108,266,700 / 1,043,000 = 103.80; day 15 closes just above it, at 104. Day 13’s heavy volume (95,000 shares near 99.67) pulled VWAP down more than any day before it. On real intraday data VWAP restarts every session; here the 15 days stand in for 15 bars.
The example data: 15 days, used in every indicator here
| Day | High | Low | Close | Volume |
|---|---|---|---|---|
| 1 | 101 | 99 | 100 | 50,000 |
| 2 | 103 | 100 | 102 | 62,000 |
| 3 | 103 | 100 | 101 | 48,000 |
| 4 | 105 | 101 | 104 | 70,000 |
| 5 | 108 | 104 | 107 | 85,000 |
| 6 | 108 | 105 | 106 | 60,000 |
| 7 | 110 | 106 | 109 | 90,000 |
| 8 | 110 | 107 | 108 | 72,000 |
| 9 | 108 | 104 | 105 | 80,000 |
| 10 | 105 | 102 | 103 | 66,000 |
| 11 | 105 | 102 | 104 | 55,000 |
| 12 | 104 | 101 | 102 | 75,000 |
| 13 | 102 | 98 | 99 | 95,000 |
| 14 | 102 | 99 | 101 | 64,000 |
| 15 | 105 | 101 | 104 | 71,000 |
- It is a benchmark, not a forecast. Trading desks use it to judge execution; its pull as support or resistance is a heuristic.
- It goes stale through the day: late in the session it barely moves, because so much volume is already behind it.
- It assumes each bar traded at its typical price; on wide-range bars that can be far from where the volume actually went through.
tp = (df['high'] + df['low'] + df['close']) / 3 df['vwap'] = (tp * df['volume']).cumsum() / df['volume'].cumsum() # intraday: group by session date and take the cumulative sums per day
Assumes import numpy as np, import pandas as pd, and a DataFrame df with columns high, low, close and volume — the 15 days above.
- S. Berkowitz, D. Logue & E. Noser, “The Total Cost of Transactions on the NYSE”, Journal of Finance 43(1), 1988 — VWAP as an execution benchmark
- R. Kissell, The Science of Algorithmic Trading and Portfolio Management, Academic Press, 2013 — VWAP execution in practice
Last reviewed October 2026 · How this site checks its content · Report a mistake
1. What is VWAP?
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B. It resets each session and accumulates trade by trade.
2. Why do institutions care about VWAP?
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B. Buying below VWAP, or selling above it, is read as good execution.
3. Why does VWAP barely move late in the day?
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B. Early in the session, a few trades move it a lot; later it is anchored by everything that came before.