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VWAP
Cumulative price multiplied by volume divided by cumulative volume.
Lesson · Volume and Order Flow
Volume-Weighted Average Price
Calculate session VWAP and use price location around it to describe accepted value and directional control.
Core concepts
What to understand
Keep the interpretation direct: participation, aggressive side, and actual price progress.
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Location
Price above or below VWAP describes where current trading occurs relative to session average value.
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Slope and acceptance
A rising or falling VWAP plus sustained price location is stronger than a single cross.
Interactive lab
Change the market conditions
Use the controls and read the “What the market is doing” explanation after each change.
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.
Check VWAP slope
Rising, falling, or flat?
Check price location
Is price consistently above, below, or crossing it?
State control
Describe who is accepting prices away from session average.
Knowledge check
Check your interpretation
Select one answer for each question. Feedback appears immediately.
1. Price stays above a rising VWAP. What is happening?
Sustained location above a rising VWAP reflects upward price acceptance.
2. Price crosses a flat VWAP repeatedly. This suggests:
Neither side is maintaining progress away from the volume-weighted average.
3. VWAP is calculated using:
VWAP weights traded price by the volume associated with it.
4. Two bars: typical price 100 on 100 contracts, then 102 on 300 contracts. VWAP after the second bar?
(100 × 100 + 102 × 300) ÷ (100 + 300) = 40,600 ÷ 400 = 101.50.
Practical rules
- Reset session VWAP at the session boundary.
- Use slope and acceptance, not one touch.
- VWAP is a reference, not automatic support or resistance.
Common mistakes
- Mixing session VWAP with multi-day data without defining reset rules.
- Buying every VWAP reclaim.
- Ignoring the opening auction and event-driven volume.
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.