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Volume Weighted Average Price (VWAP)

Trading Term

Abbreviated as VWAP, this formula measures the average price at which a security was traded on a given day. Traders and investors typically measure their own trading success by comparing the price at which they traded a security to the security’s VWAP, considering their trading a success if they traded a security at a better price than its VWAP. A security’s volume weighted average price is calculated by dividing the total dollar amount traded on a security for a given day (dollar volume) by the total number of shares traded during the same day (share volume). VWAP = Dollar Volume / Share Volume Where

  • Dollar Volume is the number of shares multiplied by the share price of each trade, and then adding the total sum of all the trades on a given day.
  • Share volume = The total number of shares traded on the given day.

See Also

  • VWAP Algo (Best Efforts)

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