VWAP Calculator (Volume Weighted Average Price)

VWAP is the average fill price weighted by volume. Big trades count more than small ones. The formula:

VWAP = Σ(Price × Volume) / Σ(Volume)

For intraday VWAP, “Price” is usually the typical price of each bar — (High + Low + Close) / 3. Most platforms compute VWAP cumulatively from the open of the trading session, restarting at each new day.

Why institutions live by it. A pension fund moving 5 million shares of XYZ cannot just slap a market order in. They need to fill over hours or days at a price that does not push the stock too far. VWAP is the benchmark — fills better than VWAP are good, fills worse are bad. Algorithms specifically slice orders to track VWAP; that is what “VWAP execution” or “VWAP algo” means.

For day traders. VWAP acts as intraday support and resistance. Price above session VWAP is the uptrend bias for the day; below is the downtrend bias. Many scalpers only trade in the direction of VWAP and avoid taking shorts above or longs below.

The pull-back to VWAP setup. In a strong opening trend, price often pulls back to VWAP and bounces. Buying that pullback in an established uptrend, with stop just below VWAP, is one of the most-used day-trading setups. Reverse for shorts in downtrends.

Limitations.

• VWAP only applies intraday. By end of day it is essentially a session average and stops giving useful signal.
• It works best on liquid stocks with steady volume distribution. Thin stocks where one big print dominates the calculation give noisy VWAPs.
• Pre-market and after-hours volume usually does not count, depending on the platform.

Anchored VWAP. A variant where you start the calculation from a specific candle — usually a key event like an earnings release, gap day, or high-volume reversal. The anchored VWAP from that anchor often acts as support or resistance for weeks.

Worked example. Three bars in your sample:

• Bar 1: TP $100.50, Vol 5,000 → 502,500
• Bar 2: TP $101.20, Vol 8,000 → 809,600
• Bar 3: TP $100.80, Vol 3,000 → 302,400

VWAP = (502,500 + 809,600 + 302,400) / (5,000 + 8,000 + 3,000) = 1,614,500 / 16,000 = $100.91. The biggest volume happened at $101.20, which pulls VWAP toward that price.