Volume Weighted Average Price (VWAP)

Category: volume, trend

Calculates the cumulative average price weighted by volume over a specific session or timeframe reset. Used as a benchmark for market value.

Formula

VWAP = \frac{\sum_{i=1}^{n} (Price_i \times Volume_i)}{\sum_{i=1}^{n} Volume_i} \text{ where } n \text{ is the number of bars since the reset condition.}

Inputs

• i_source (default: hlc3)
• i_session_type (default: 1D)

See signal primitives and every published strategy that uses Volume Weighted Average Price (VWAP) on WOBR StrategyVerse.