Volume & order-flow
VWAP (Volume Weighted Average Price)
The average price weighted by volume, the institutional fair-value benchmark.
What is VWAP (Volume Weighted Average Price)?
VWAP (Volume Weighted Average Price) is the average price an instrument has traded at over a session, weighted by volume. Institutions use it as an execution benchmark, which is why price tends to gravitate to and react around it intraday.
How it works
VWAP cumulates price × volume and divides by cumulative volume from the session start, so each print is weighted by how much traded there. It resets each session. Standard-deviation bands around VWAP mark stretched conditions, and price above/below VWAP frames intraday bias.
How traders use it
- ▸Bias: above VWAP is bullish intraday, below is bearish.
- ▸Mean reversion: fade moves back to VWAP from the bands.
- ▸Execution: benchmark fills against VWAP.
- ▸Confluence: VWAP reclaim/rejection with structure or order flow.
Build VWAP (Volume Weighted Average Price) without code in Algovex
Algovex provides VWAP (with optional bands) as a node. Build reclaim, rejection or band-reversion rules on the canvas, backtest them on volume data, and export the logic to code.
Key parameters
| Parameter | What it does |
|---|---|
| anchor | Where the VWAP resets (session / anchored point). |
| bandMult | Standard-deviation multiplier for the VWAP bands. |
Frequently asked questions
Is VWAP only for day trading?
Session VWAP is mainly intraday because it resets daily, but anchored VWAP (from a swing or event) is used on higher timeframes too. Algovex supports VWAP-based rules you can backtest on any timeframe with volume.