Order flow & volume
VWAP
Also known as: volume weighted average price
VWAP (Volume Weighted Average Price) is the average price of an instrument over a period, weighted by volume.
Institutions use VWAP as an execution benchmark, so intraday price often gravitates to and reacts around it. Standard-deviation bands mark stretched conditions, and price above or below VWAP frames intraday bias. Algovex provides VWAP with optional bands.
Related terms
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