1
Anchor
A defined starting bar such as a major low, high, gap, earnings event, or breakout.
Lesson · Volume and Order Flow
Anchored Volume-Weighted Average Price
Start VWAP from a selected event and evaluate whether price is accepted above or below the event’s average traded value.
Core concepts
What to understand
Keep the interpretation direct: participation, aggressive side, and actual price progress.
2
Calculation
The same cumulative price-volume formula as VWAP, beginning at the anchor.
3
Interpretation
Price location shows whether trading since the anchor is accepted above or below average value.
Interactive lab
Change the market conditions
Use the controls and read the “What the market is doing” explanation after each change.
Anchored Volume-Weighted Average Price Lab
Synthetic educational data · no live market connection
MARKET DATA
Reading process
Follow the reading steps
Do not jump from one number to a trade. Describe the evidence first.
Choose the event first
The anchor must answer a specific market question.
Inspect slope and location
Look for sustained acceptance above or below the anchored average.
Watch the reaction
A reclaim, rejection, or repeated crossing reveals changing control.
Knowledge check
Check your interpretation
Select one answer for each question. Feedback appears immediately.
1. What changes between session VWAP and anchored VWAP?
Anchored VWAP begins at a user-defined event rather than a fixed session boundary.
2. Price reclaims a falling AVWAP once. Is buyer control confirmed?
A single cross is evidence, but sustained trade and structure provide confirmation.
3. A good anchor is:
The anchor should have an objective market rationale.
4. Anchored at bar 10. Bars 10 and 11 have typical prices 50 and 52 on 200 contracts each. What is the anchored VWAP at bar 11?
(50 × 200 + 52 × 200) ÷ 400 = 20,400 ÷ 400 = 51.00. Bars before the anchor never enter the sum.
Practical rules
- Do not move the anchor to fit the desired result.
- Use objectively significant events.
- An anchor is context, not a standalone entry trigger.
Common mistakes
- Anchoring every minor pivot.
- Using hindsight to select the perfect anchor.
- Assuming all participants entered exactly at AVWAP.
References
Official reading
The lab is simplified; these sources provide the underlying market and execution definitions.
Nasdaq · VWAP Definition
Official glossary definition of volume-weighted average price.
CME Group · What is Volume?
Official overview of how futures volume is counted and interpreted.