VWAP is a volume-weighted average price over a chosen set of observations. It is a descriptive benchmark, not an estimate of a security's intrinsic value or proof that a price level will hold.

Two Calculation Inputs You Should Distinguish

With individual trades, calculate sum(trade price × trade size) / sum(trade size). In a simple example, 100 shares at $10 and 300 at $12 produce a VWAP of $11.50.

Chart indicators may instead use a bar-price proxy weighted by each bar's volume. TradingView's VWAP documentation describes a typical-price calculation and configurable source and anchor period. A bar-based approximation need not equal a calculation from every trade.

Unlike a simple moving average of closes, this calculation weights the selected prices by volume. Other moving-average types can use unequal weights too, so “all moving averages weight prices equally” is incorrect.

The Anchor Determines the Period

A session VWAP restarts with the chosen session. Other anchors can span a week, month or a selected event. Daily resetting is one configuration, not a universal restriction to intraday use.

State the session timezone, included hours and data source. A futures VWAP covering an overnight session will differ from one limited to US equity cash-market hours; neither is universally the correct choice for every contract or strategy.

What Above or Below VWAP Means

A current price above VWAP is above that historical weighted average. It does not reveal whether the average current holder is profitable: the same shares may have traded repeatedly, positions may have closed, and short positions and costs are absent from the calculation.

Using VWAP as an execution benchmark does not make it guaranteed support. A buy below the period's VWAP is one comparison, not a complete assessment of execution quality or the investment decision.

Early Values, Bands and Missing Data

Early in an anchor period, few observations determine the average, so new activity can change it substantially. There is no universal 30-minute point at which VWAP becomes valid. Missing or unsuitable volume data can make a calculation unusable regardless of elapsed time.

Bands depend on the platform's chosen calculation. One or two standard deviations do not automatically contain 68% or 95% of future trading prices, and a band touch does not require a reversal.

The separate VWAP strategy guide explains how to define and evaluate rules around this benchmark.

Risk Disclaimer: Trading involves substantial risk of loss. Past performance is not indicative of future results. See our full risk disclaimer.