VWAP
Average price weighted by volume
What it is
Volume Weighted Average Price: the average traded price over a session, weighted by size at each level. Usually resets daily.
What it may suggest
A reference for whether buyers or sellers are better positioned on the day. Institutions often benchmark fills against it.
Where it fails
Session-bound, so it is close to meaningless on higher timeframes or in markets without a defined session. Early in a session it is built from very little data.
Also called volume weighted average price.
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