Accurate Professional Tool to Calculate Volume Weighted Average Share Price
VWAP Calculator
Enter your trade executions below to calculate the Volume Weighted Average Price.
Trade Execution #1
Price per share for this trade block.
Please enter a valid positive price.
Number of shares traded.
Please enter a valid positive volume.
Trade Execution #2
Trade Execution #3
Trade Execution #4
Trade Execution #5
Volume Weighted Average Price (VWAP)
$0.00
Calculated based on 0 trades
Total Volume
0
Shares
Total Traded Value
$0.00
(Price × Vol)
Average Price (Simple)
$0.00
Unweighted Mean
Formula Used: VWAP = ∑ (Price × Volume) / ∑ Volume. This provides a truer indication of the average price paid by giving more weight to trades with larger volume.
Figure 1: Comparison of Individual Trade Prices vs Cumulative VWAP Trend
Detailed breakdown of each trade contribution to the total calculation.
Trade #
Price ($)
Volume
Traded Value ($)
Weight %
Enter values to see breakdown
What is Calculate Volume Weighted Average Share Price?
To calculate volume weighted average share price (commonly known as VWAP) is to determine a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price. Unlike a simple moving average which treats every closing price equally, the VWAP emphasizes trades with higher volume.
This metric is critical for institutional investors and mutual funds. If a large institution wants to buy a significant number of shares, they use VWAP to ensure they are not inflating the price artificially. By aiming to execute trades near the VWAP, they ensure they are paying a fair market price relative to the volume traded that day.
It is important to note that VWAP is primarily an intraday indicator. It resets at the start of each trading day, making it distinct from multi-day moving averages.
Calculate Volume Weighted Average Share Price Formula
The mathematical foundation to calculate volume weighted average share price is straightforward but powerful. It represents the ratio of the cumulative value of traded shares to the cumulative volume of traded shares.
The Formula:
VWAP = [Sum of (Price × Volume)] / [Sum of Volume]
Where:
Price = The price of the specific trade execution.
Volume = The number of shares traded at that specific price.
Key Variables in VWAP Calculation
Variable
Meaning
Unit
Typical Range
P (Price)
Execution price of a share
Currency ($)
0.01 – 10,000+
V (Volume)
Number of shares in the trade
Count
1 – 1,000,000+
PV (Traded Value)
Total money exchanged in trade
Currency ($)
Variable
Practical Examples (Real-World Use Cases)
Example 1: The Small Cap Investor
Imagine an investor looking to calculate volume weighted average share price for a volatile tech stock. They execute three trades:
Interpretation: Even though the price dropped to $11.00 at the end, the heavy buying at $12.00 pulled the weighted average up significantly closer to $12.00 than $10.00.
Example 2: Institutional Accumulation
A fund manager needs to buy 1,000,000 shares. They buy 200,000 at $50 early in the morning. Later, liquidity dries up, and they buy 800,000 shares at $55. The simple average is $52.50, but the VWAP will be $54.00 because 80% of the volume was purchased at the higher price. This helps the manager report performance relative to market liquidity.
How to Use This VWAP Calculator
Follow these steps to effectively calculate volume weighted average share price using the tool above:
Gather Trade Data: Have your list of trade executions ready. You need the specific price and the number of shares for each batch.
Input Execution Details: Enter the Price ($) and Volume (Shares) for your first trade in Row 1.
Add More Trades: Continue entering data for subsequent trades in the rows provided. The calculator supports up to 5 distinct execution blocks for quick analysis.
Review the Chart: Observe the graph to see how individual trade prices compare to the moving VWAP line.
Analyze Results: Check the "Weight %" in the breakdown table to see which trade had the biggest impact on your average price.
Key Factors That Affect VWAP Results
When you set out to calculate volume weighted average share price, several market factors influence the outcome:
Trade Volume Distribution: The single biggest factor. A small trade at a high price has little effect, but a massive block trade will "pull" the VWAP towards it aggressively.
Market Volatility: In highly volatile markets, prices swing widely. If high volume occurs at the peaks of these swings, the VWAP will be skewed higher than the median price.
Time of Day: Trading volume typically follows a "U" shape—high at the open and close, lower during lunch. Trades executed during the high-volume open/close periods weigh more heavily in the daily VWAP.
Liquidity: Low liquidity stocks may have erratic VWAP calculations because gaps in trading allow price to jump without significant volume, though the VWAP formula dampens this noise compared to simple averages.
Transaction Costs: While not part of the standard formula, investors must mentally add commissions and fees on top of the calculated VWAP to determine their true break-even point.
Market Depth: The availability of buy/sell orders at different prices affects where volume can actually execute, indirectly influencing the input values for the calculation.
Frequently Asked Questions (FAQ)
Why is VWAP better than a simple average?
VWAP is often considered "better" for trading because it accounts for the volume. A price of $100 on 1 share shouldn't have the same weight as a price of $100 on 10,000 shares. To calculate volume weighted average share price is to respect market depth.
Does this calculator work for crypto?
Yes. The mathematics behind VWAP apply to any asset class, including stocks, ETFs, futures, and cryptocurrencies. Simply input the coin price and the quantity traded.
Is VWAP a lagging indicator?
Yes, because it is based on past data (trades that have already occurred). However, it is used as a current benchmark to gauge if the current price is "cheap" or "expensive" relative to the day's activity.
Can I use VWAP for swing trading?
While primarily an intraday tool, some traders use "Anchored VWAP" which starts the calculation from a specific date (like a swing low) to measure the average price since a specific event.
What does it mean if price is above VWAP?
If the current price is above the VWAP, it generally signals a bullish trend for the day, indicating that buyers are in control and paying higher prices than the average.
How accurate is this VWAP calculator?
The calculation is mathematically precise based on the inputs you provide. Real-world exchange VWAP includes every single tick of data, whereas this tool calculates based on the specific blocks you enter.
Why do institutions use VWAP algorithms?
Institutions use VWAP algorithms to split large orders into small chunks throughout the day to execute their trades as close to the market average as possible, minimizing market impact.
Does VWAP include after-hours trading?
Standard VWAP calculations usually only include data during regular market hours, but you can calculate volume weighted average share price for any session by inputting the relevant trade data here.
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