Calculate Volume Weighted Average Price Excel

Accurately calculate volume weighted average price excel style for trading and financial analysis

VWAP Calculator

Enter up to 8 trades (Price and Volume) to see the Volume Weighted Average Price in real-time.

1

2

3

4

5

6

In the world of institutional trading and technical analysis, knowing how to calculate volume weighted average price excel is a fundamental skill. Unlike a simple moving average, which treats every closing price equally, VWAP gives weight to periods of heavy trading activity. This provides a true average price that reflects where the majority of money was actually exchanged.

What is Calculate Volume Weighted Average Price Excel?

Volume Weighted Average Price (VWAP) is a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price. It is important because it provides traders with insight into both the trend and value of a security.

When you look to calculate volume weighted average price excel, you are essentially asking: "What was the average price paid per share, accounting for the fact that some trades involved 100 shares while others involved 10,000 shares?"

Who Should Use VWAP?

• Institutional Traders: To execute large orders without moving the market price significantly.
• Day Traders: To determine market direction (bullish if price is above VWAP, bearish if below).
• Analysts: To evaluate the efficiency of trade executions.

Common Misconception: Many beginners confuse VWAP with a simple Moving Average (MA). An MA is time-based, whereas VWAP is volume-based. A price spike on low volume will pull an MA up significantly, but will barely move the VWAP.

VWAP Formula and Mathematical Explanation

To calculate volume weighted average price excel or manually, you must follow this standard formula:

VWAP = ∑ (Price × Volume) / ∑ (Volume)

Where:

• Price: The execution price of the specific trade or period.
• Volume: The number of shares or contracts traded at that specific price.
• ∑ (Sigma): Represents the sum total over the specified time horizon (usually one trading day).

Variables Definition Table

Variable	Meaning	Unit	Typical Range
PV	Price × Volume (Traded Value)	Currency ($)	Variable
Cumulative PV	Running total of Traded Value	Currency ($)	Millions/Billions
Cumulative Vol	Running total of shares traded	Shares	Thousands/Millions

Table 1: Key components required to calculate volume weighted average price excel.

Excel Implementation Guide

To calculate volume weighted average price excel, follow these specific steps using spreadsheet functions:

1. Column A (Price): Enter trade prices in cells A2:A10.
2. Column B (Volume): Enter trade volumes in cells B2:B10.
3. Formula: In cell C2, enter the formula: =SUMPRODUCT(A2:A10, B2:B10) / SUM(B2:B10).

The SUMPRODUCT function multiplies corresponding arrays (Price × Volume) and sums them up, while SUM totals the volume. Dividing the two gives you the VWAP.

Practical Examples (Real-World Use Cases)

Example 1: The Heavy Move

Imagine a stock trades three times in the morning:

• Trade 1: 1,000 shares at $50.00
• Trade 2: 100 shares at $55.00
• Trade 3: 500 shares at $51.00

Simple Average: ($50 + $55 + $51) / 3 = $52.00.

VWAP Calculation:

• (1,000 × 50) + (100 × 55) + (500 × 51) = 50,000 + 5,500 + 25,500 = $81,000 (Total Value)
• 1,000 + 100 + 500 = 1,600 (Total Volume)
• VWAP = 81,000 / 1,600 = $50.625

Interpretation: Even though the price spiked to $55, the low volume on that trade meant the "true" average price is closer to $50.62. This protects traders from chasing "fake" price moves.

Example 2: Evaluating Execution

An institutional trader is tasked with buying 50,000 shares. The VWAP for the day ends at $102.50. If the trader's average fill price was $101.90, they executed better than the market average (saving money). If their average was $103.00, they performed poorly relative to the volume flow.

How to Use This Calculator

While you can calculate volume weighted average price excel, this tool offers instant verification:

1. Enter Price: Input the execution price for a specific trade or time candle in the "Share Price" field.
2. Enter Volume: Input the number of shares associated with that price in the "Volume" field.
3. Add Rows: Use multiple rows to simulate a sequence of trades throughout the day.
4. Review Results: The calculator updates the VWAP, Total Value, and Total Volume instantly.
5. Analyze the Chart: Look at the bar chart to visually identify which trades (by volume weight) are influencing the price the most.

Key Factors That Affect VWAP Results

When you calculate volume weighted average price excel, several market factors influence the outcome:

• Volume Spikes: High volume at a specific price point acts as a "magnet," pulling the VWAP closer to that price.
• Time of Day: VWAP starts fresh every day. Early morning volatility has a massive impact on the curve, while late-day trades affect the average less due to the accumulation of prior data.
• Block Trades: A single massive institutional block trade can shift the VWAP instantly, signaling a change in institutional sentiment.
• Market Depth: In thin markets (low liquidity), small trades can move price significantly, but VWAP will filter this noise out effectively.
• Outliers: Extreme prices on insignificant volume are mathematically suppressed by the VWAP formula.
• Cumulative Nature: Unlike Exponential Moving Averages (EMA), VWAP does not "forget" data from the market open. The first trade of the day still counts towards the end-of-day value.

Frequently Asked Questions (FAQ)

1. Can I calculate VWAP over multiple days?

Technically yes, this is called "Anchored VWAP." However, standard VWAP is an intraday indicator that resets at the market open. When you calculate volume weighted average price excel for multi-day analysis, ensure your cumulative sums do not reset.

2. Is VWAP better than a Simple Moving Average (SMA)?

For intraday trading, generally yes. VWAP accounts for volume, which is the fuel of price movement. SMA ignores volume.

3. How do institutions use VWAP?

They use it as a benchmark for execution algorithms. An algorithm might be programmed to "Buy only when Price < VWAP" to ensure they are getting a discount relative to the market average.

4. What does it mean if Price is above VWAP?

Generally, if the current price is above VWAP, the intraday trend is considered bullish (buyers are in control and paying higher premiums).

5. Can I use this for Crypto?

Yes. The math to calculate volume weighted average price excel is identical for stocks, crypto, futures, or forex (provided volume data is available).

6. Why is my VWAP different from my broker's?

Data feed differences. Your broker might use every single tick, while you might be calculating based on 1-minute or 5-minute candle closes. The granularity of data affects the precision.

7. Does VWAP work for swing trading?

Standard VWAP is for day trading. For swing trading, traders often use "Anchored VWAP," anchoring the calculation to a significant event like an earnings date or a market low.

8. What is the "VWAP Band"?

Some traders calculate standard deviations above and below the VWAP line to create bands, similar to Bollinger Bands, to identify overbought or oversold conditions.

Enter data to view chart

maxVol) maxVol = data[i].volume; } // Prevent division by zero if(maxVol === 0) maxVol = 100; var barWidth = (chartWidth / data.length) * 0.6; // 60% width of slot var gap = (chartWidth / data.length) * 0.4; var svgNs = "http://www.w3.org/2000/svg"; var svg = document.createElementNS(svgNs, "svg"); svg.setAttribute("width", "100%"); svg.setAttribute("height", "100%"); svg.setAttribute("viewBox", "0 0 " + width + " " + height); // Y Axis Line var yAxis = document.createElementNS(svgNs, "line"); yAxis.setAttribute("x1", padding); yAxis.setAttribute("y1", padding); yAxis.setAttribute("x2", padding); yAxis.setAttribute("y2", height – padding); yAxis.setAttribute("stroke", "#dee2e6"); yAxis.setAttribute("stroke-width", "2"); svg.appendChild(yAxis); // X Axis Line var xAxis = document.createElementNS(svgNs, "line"); xAxis.setAttribute("x1", padding); xAxis.setAttribute("y1", height – padding); xAxis.setAttribute("x2", width – padding); xAxis.setAttribute("y2", height – padding); xAxis.setAttribute("stroke", "#dee2e6"); xAxis.setAttribute("stroke-width", "2"); svg.appendChild(xAxis); // Bars for (var i = 0; i < data.length; i++) { var item = data[i]; var barHeight = (item.volume / maxVol) * chartHeight; var xPos = padding + (gap/2) + (i * (barWidth + gap)); var yPos = (height – padding) – barHeight; // Group for tooltip capability (simplified here) var g = document.createElementNS(svgNs, "g"); var rect = document.createElementNS(svgNs, "rect"); rect.setAttribute("x", xPos); rect.setAttribute("y", yPos); rect.setAttribute("width", barWidth); rect.setAttribute("height", barHeight); rect.setAttribute("fill", "#004a99"); rect.setAttribute("rx", "4"); // Rounded top // Text Label (Volume) var text = document.createElementNS(svgNs, "text"); text.setAttribute("x", xPos + (barWidth/2)); text.setAttribute("y", yPos – 5); text.setAttribute("text-anchor", "middle"); text.setAttribute("font-size", "12"); text.setAttribute("fill", "#666"); text.textContent = item.volume; // X Axis Label (Trade #) var xLabel = document.createElementNS(svgNs, "text"); xLabel.setAttribute("x", xPos + (barWidth/2)); xLabel.setAttribute("y", height – padding + 20); xLabel.setAttribute("text-anchor", "middle"); xLabel.setAttribute("font-size", "12"); xLabel.setAttribute("font-weight", "bold"); xLabel.setAttribute("fill", "#333"); xLabel.textContent = "#" + item.id; g.appendChild(rect); g.appendChild(text); g.appendChild(xLabel); svg.appendChild(g); } container.appendChild(svg); } // Initialize with defaults window.onload = function() { // Set default values for demonstration document.getElementById('price1').value = "150.50"; document.getElementById('vol1').value = "500"; document.getElementById('price2').value = "151.00"; document.getElementById('vol2').value = "200"; document.getElementById('price3').value = "149.75"; document.getElementById('vol3').value = "1000"; calculateVWAP(); };