Volume Weighted Average Price (VWAP)

VWAP is the average price a security actually traded at, with every price weighted by the volume behind it. Enter up to five price–volume pairs and see how far the weighted figure sits from a plain average.

How the calculation works

The calculator uses the standard definition VWAP = Σ(Pᵢ × Vᵢ) / ΣVᵢ. Each price is multiplied by the volume traded at that price, the products are summed into turnover, and turnover is divided by total volume. Next to the result you get total volume, turnover Σ P·V and the simple (unweighted) average of the five prices, so you can see how strongly the large prints pull the number.

P₁…P₅ are prices in any currency: individual trade prices or, if you work with candles, the typical price of each bar, (High + Low + Close) / 3. V₁…V₅ are the matching volumes in shares, contracts or coins. A row with zero volume simply drops out, so you can fill in fewer than five rows.

Traders treat VWAP as an intraday benchmark: buying below it or selling above it is usually read as good execution, and institutional order algorithms are often graded against it. The VWAP line on a trading platform accumulates from the session open and resets every day; this tool returns the same figure for whatever set of bars you enter.

Worked example

The default inputs are prices 100, 101, 102, 101.5 and 103 with volumes 1,000, 1,500, 800, 1,200 and 500. Total volume is 5,000 and turnover is 100×1,000 + 101×1,500 + 102×800 + 101.5×1,200 + 103×500 = 506,400. VWAP = 506,400 / 5,000 = 101.28. The simple average of the five prices is 101.50: the highest price, 103, printed on the smallest volume, so it moves the weighted figure less than the plain average.

Things to keep in mind

• Take prices and volumes from the same feed and period. Mixing single-exchange volume with consolidated volume distorts the weights.
• For OHLC bars the typical price (H + L + C) / 3 is the usual convention; using closes only is simpler but less representative of where the volume changed hands.
• VWAP lags. Late in the session it barely moves, so treat it as a yardstick for execution quality rather than a stand-alone trading signal.
• To find your own average entry across several partial fills, enter each fill price and size — the result is your volume-weighted cost basis before commissions.
• Anchored VWAP starts from a chosen event such as earnings or a breakout. To reproduce it here, enter aggregated bars starting from that anchor.