VWAP

The average price paid so far today, with busy bars counting for more.

What it measures

VWAP adds up each bar’s typical price times its volume since the start of the day, and divides by the volume. The day is the UTC day: the sums start again with the first bar that opens at or after 00:00 UTC, which suits markets that trade around the clock.

On FX the volume is the broker’s tick volume, the number of price changes in the bar, not the amount traded. Tick volume tracks real activity closely enough to weight by, but it is a proxy.

How traders read it

Price above VWAP means buyers have paid up through the day, and below means sellers are in control. Intraday traders buy pullbacks to VWAP in an uptrend and fade moves away from it in a range. Larger traders use it as a benchmark for their fills.

Formula

typical price = (HIGH + LOW + CLOSE) / 3
VWAP = Σ(typical price × VOLUME) / Σ VOLUME, over the bars of the day so far

VWAP needs the whole day, so it has no value before the first 00:00 UTC in the data. On minute charts the start of a chart can be blank until then. It is an intraday indicator, so it refuses daily bars.

Settings and output

Call: vwap()

No settings.

What you get: a number.

Warm-up: with no settings, it asks for 0 bars of history and a run-up of 25, and its first value came on bar 25 of the example data.

Chart

VWAP drawn by its own code on example prices

The prices are made up, hourly, and the same on every page, so the chart shows how the indicator behaves, not how a market behaved.

In an algorithm

function onIntervalClose() {
  const average = vwap();
  if (average !== null && CLOSE > average && OPEN_POSITIONS_COUNT === 0) {
    openPosition("BUY", { quantity: 10000, stopLossPips: 30 });
  }
}