VWAP (Volume Weighted Average Price) Calculator
This tool calculates the Volume Weighted Average Price (VWAP) for a given set of trades or data points. VWAP represents the average price an asset has traded at throughout the day, based on both volume and price.
Enter your data points below, one per line, in the format: Price, Volume (e.g., 150.25, 1000). Ensure all data points represent a single, continuous period (e.g., one trading day).
Enter Price and Volume Data
Understanding VWAP & Formula
What is VWAP?
VWAP stands for Volume Weighted Average Price. It is a trading benchmark used by traders that gives the average price a security has traded for over a specific period (usually one day), weighted by volume. The goal of VWAP is to give traders a benchmark of the average price at which a security has traded throughout the day. VWAP is often used by large institutional buyers to minimize their market impact when accumulating positions.
VWAP Formula
The formula for calculating VWAP is:
VWAP = (Total Price * Volume) / (Total Volume)
More formally, for a series of trades or time bars (i=1 to N):
VWAP = ( Σ (Pricei * Volumei) ) / ( Σ (Volumei) )
Where:
- Pricei is the price of trade 'i' (or the typical price for bar 'i', e.g., (High+Low+Close)/3). This calculator assumes Pricei is the price associated with Volumei.
- Volumei is the volume of trade 'i' (or the volume for bar 'i').
- Σ denotes the sum over the period.
How VWAP is Used
- **Benchmark:** Traders use VWAP to judge if they bought or sold at a good price relative to the day's average. Buying below VWAP or selling above VWAP is generally considered favorable.
- **Execution Strategy:** Large orders may be broken up throughout the day and executed with the goal of achieving an average execution price close to or better than the day's VWAP.
- **Indicator:** Some traders use VWAP lines on charts as a dynamic support or resistance level.
VWAP Calculation Examples
Here are a few examples demonstrating how VWAP is calculated with different sets of data:
Example 1: Simple Trades
Scenario: Calculate VWAP for three trades.
Data:
10.00, 100
10.10, 50
10.05, 200
Calculation:
- Trade 1: Price * Volume = 10.00 * 100 = 1000
- Trade 2: Price * Volume = 10.10 * 50 = 505
- Trade 3: Price * Volume = 10.05 * 200 = 2010
Total (Price * Volume) ΣPV = 1000 + 505 + 2010 = 3515
Total Volume ΣV = 100 + 50 + 200 = 350
VWAP = ΣPV / ΣV = 3515 / 350
Result: VWAP ≈ 10.0429
Example 2: More Data Points
Scenario: Calculate VWAP for several data points representing bars.
Data:
55.50, 3000
55.60, 1500
55.45, 4000
55.70, 2000
55.55, 2500
Calculation:
- PV1: 55.50 * 3000 = 166500
- PV2: 55.60 * 1500 = 83400
- PV3: 55.45 * 4000 = 221800
- PV4: 55.70 * 2000 = 111400
- PV5: 55.55 * 2500 = 138875
Total (Price * Volume) ΣPV = 166500 + 83400 + 221800 + 111400 + 138875 = 721975
Total Volume ΣV = 3000 + 1500 + 4000 + 2000 + 2500 = 13000
VWAP = ΣPV / ΣV = 721975 / 13000
Result: VWAP ≈ 55.5365
Example 3: Zero Volume (Should be Ignored/Skipped)
Scenario: Calculate VWAP with a data point that has zero volume. The calculator should ignore points with zero or negative volume.
Data:
25.00, 500
25.10, 0
25.15, 300
Calculation: The line "25.10, 0" is ignored as volume is zero.
- PV1: 25.00 * 500 = 12500
- PV2: 25.15 * 300 = 7545
Total (Price * Volume) ΣPV = 12500 + 7545 = 20045
Total Volume ΣV = 500 + 300 = 800
VWAP = ΣPV / ΣV = 20045 / 800
Result: VWAP ≈ 25.0563
Example 4: Higher Volumes
Scenario: Calculate VWAP for a stock with larger trade volumes.
Data:
180.50, 15000
180.60, 20000
180.40, 10000
180.70, 5000
Calculation:
- PV1: 180.50 * 15000 = 2707500
- PV2: 180.60 * 20000 = 3612000
- PV3: 180.40 * 10000 = 1804000
- PV4: 180.70 * 5000 = 903500
Total (Price * Volume) ΣPV = 2707500 + 3612000 + 1804000 + 903500 = 9027000
Total Volume ΣV = 15000 + 20000 + 10000 + 5000 = 50000
VWAP = ΣPV / ΣV = 9027000 / 50000
Result: VWAP = 180.54
Example 5: Fractional Prices and Volumes
Scenario: Calculate VWAP using data with decimal places in both price and volume (common in some markets or calculations based on derived volume).
Data:
0.75, 10.5
0.76, 5.2
0.74, 8.8
Calculation:
- PV1: 0.75 * 10.5 = 7.875
- PV2: 0.76 * 5.2 = 3.952
- PV3: 0.74 * 8.8 = 6.512
Total (Price * Volume) ΣPV = 7.875 + 3.952 + 6.512 = 18.339
Total Volume ΣV = 10.5 + 5.2 + 8.8 = 24.5
VWAP = ΣPV / ΣV = 18.339 / 24.5
Result: VWAP ≈ 0.7485
Example 6: Crypto Trading
Scenario: Calculate VWAP for a cryptocurrency over a short period.
Data:
45000.00, 0.5
45100.00, 1.2
44950.00, 0.8
45050.00, 0.3
Calculation:
- PV1: 45000.00 * 0.5 = 22500
- PV2: 45100.00 * 1.2 = 54120
- PV3: 44950.00 * 0.8 = 35960
- PV4: 45050.00 * 0.3 = 13515
Total (Price * Volume) ΣPV = 22500 + 54120 + 35960 + 13515 = 126095
Total Volume ΣV = 0.5 + 1.2 + 0.8 + 0.3 = 2.8
VWAP = ΣPV / ΣV = 126095 / 2.8
Result: VWAP ≈ 45033.93
Example 7: End-of-Day Trading
Scenario: Calculate VWAP during the last hour of trading with fluctuating prices.
Data:
75.20, 2000
75.15, 3500
75.30, 1800
75.25, 2500
75.40, 1200
Calculation:
- PV1: 75.20 * 2000 = 150400
- PV2: 75.15 * 3500 = 263025
- PV3: 75.30 * 1800 = 135540
- PV4: 75.25 * 2500 = 188125
- PV5: 75.40 * 1200 = 90480
Total (Price * Volume) ΣPV = 150400 + 263025 + 135540 + 188125 + 90480 = 827570
Total Volume ΣV = 2000 + 3500 + 1800 + 2500 + 1200 = 11000
VWAP = ΣPV / ΣV = 827570 / 11000
Result: VWAP ≈ 75.2336
Example 8: Limited Data Points
Scenario: Calculate VWAP with only a few trades.
Data:
99.80, 100
100.10, 50
Calculation:
- PV1: 99.80 * 100 = 9980
- PV2: 100.10 * 50 = 5005
Total (Price * Volume) ΣPV = 9980 + 5005 = 14985
Total Volume ΣV = 100 + 50 = 150
VWAP = ΣPV / ΣV = 14985 / 150
Result: VWAP = 99.90
Example 9: High Volume at One Price
Scenario: A significant volume traded at a specific price point.
Data:
30.50, 1000
30.60, 500
30.55, 8000
30.70, 700
Calculation: Note how the high volume at 30.55 heavily weights the VWAP towards that price.
- PV1: 30.50 * 1000 = 30500
- PV2: 30.60 * 500 = 15300
- PV3: 30.55 * 8000 = 244400
- PV4: 30.70 * 700 = 21490
Total (Price * Volume) ΣPV = 30500 + 15300 + 244400 + 21490 = 311690
Total Volume ΣV = 1000 + 500 + 8000 + 700 = 10200
VWAP = ΣPV / ΣV = 311690 / 10200
Result: VWAP ≈ 30.5578
Example 10: Price Fluctuations
Scenario: Calculate VWAP for data showing a price dip and recovery.
Data:
88.00, 1000
87.50, 2000
87.00, 3000
87.80, 2500
88.10, 1500
Calculation:
- PV1: 88.00 * 1000 = 88000
- PV2: 87.50 * 2000 = 175000
- PV3: 87.00 * 3000 = 261000
- PV4: 87.80 * 2500 = 219500
- PV5: 88.10 * 1500 = 132150
Total (Price * Volume) ΣPV = 88000 + 175000 + 261000 + 219500 + 132150 = 875650
Total Volume ΣV = 1000 + 2000 + 3000 + 2500 + 1500 = 10000
VWAP = ΣPV / ΣV = 875650 / 10000
Result: VWAP = 87.565
Understanding Price and Volume
Price in this context is the traded price of an asset. Volume is the quantity of the asset that traded hands at that price or during that time period...
Data Format Reference
The calculator expects each line in the input box to contain two numbers separated by a comma: the Price followed by the Volume. Ensure volumes are positive numbers for meaningful calculation.
Frequently Asked Questions about VWAP
1. What does VWAP stand for?
VWAP stands for Volume Weighted Average Price.
2. How is VWAP different from a simple average price?
A simple average price just adds up all prices and divides by the number of data points. VWAP, however, multiplies each price by its corresponding volume, sums these values, and then divides by the total volume. This gives a more accurate "average" price considering how much was traded at each price level.
3. What is the main VWAP formula?
VWAP = Σ (Price * Volume) / Σ (Volume) for all data points in the period.
4. What kind of data is needed to calculate VWAP?
You need a series of data points, each containing a Price and the corresponding Volume traded at that price or during that specific bar (time period).
5. What is VWAP typically used for?
VWAP is primarily used by institutional traders as a benchmark to assess the quality of their trade executions and as a guide for breaking up large orders. Retail traders may use it as a trend or support/resistance indicator.
6. Why would a trader want to buy below VWAP?
Buying below the calculated VWAP for a period suggests the trader achieved an average entry price better than the average price weighted by volume over that period. This is generally considered a favorable execution.
7. Does the order of data points matter for the final VWAP calculation?
No, the final VWAP is a cumulative calculation over the entire period. The order in which the price/volume pairs are listed in the input does not affect the final VWAP value, only the total sums.
8. Can VWAP be calculated for any time period?
Traditionally, VWAP is calculated for a single trading day. However, the formula can be applied to any defined period (intraday, weekly, etc.) as long as you have the granular price and volume data for that specific period.
9. What happens if the total volume is zero?
If the total volume is zero (either no data is entered, or all entered data points have zero volume), VWAP cannot be calculated as it would involve division by zero. The calculator will show an error in this case.
10. Can I use different units for price and volume?
Yes, as long as you are consistent within your dataset. The VWAP result will be in the same units as your input prices.
