Calculate Volume Weighted Average (VWAP)
Accurately calculate volume weighted average price for stocks, crypto, or any asset class. Input your trades below to determine the true average price based on volume execution.
Execution Price per Unit ($)
Volume (Shares/Units)
Action
Volume Weighted Average Price (VWAP)
$0.00
Formula: VWAP = ∑(Price × Volume) ÷ ∑(Volume)
Calculated by dividing the Total Traded Value by the Total Volume.
Calculated by dividing the Total Traded Value by the Total Volume.
Total Volume
0
Total Traded Value
$0.00
Total Trades Count
0
What is Calculate Volume Weighted Average (VWAP)?
To calculate volume weighted average (commonly known as VWAP) is to determine the average price a security has traded at throughout the day, based on both volume and price. Unlike a simple moving average which treats every closing price equally, VWAP gives weight to price points with heavy volume.
Institutional traders and analysts use the calculate volume weighted average methodology to assess the quality of their trade executions. If a buy order was filled below the VWAP, it is generally considered a good trade. Conversely, buying significantly above the VWAP may indicate paying a premium driven by temporary volatility.
There are common misconceptions that VWAP is a predictive indicator. While it acts as a dynamic support and resistance level, its primary function is as a benchmarking tool for execution efficiency and trend confirmation in intraday trading.
Calculate Volume Weighted Average Formula and Explanation
The mathematics behind the decision to calculate volume weighted average is straightforward but powerful. It represents the ratio of the cumulative value of trading to the cumulative volume of trading.
VWAP = ∑ (Price × Volume) / ∑ (Volume)
The step-by-step derivation involves:
- Calculate Typical Price: For each transaction (or candle), multiply the price by the volume traded.
- Cumulative Total Value: Sum these values (Price × Volume) for all transactions in the period.
- Cumulative Total Volume: Sum the volume for all transactions in the period.
- Divide: Divide the Cumulative Total Value by the Cumulative Total Volume.
| Variable | Meaning | Unit | Typical Range |
|---|---|---|---|
| Price (P) | Transaction price per unit | Currency ($) | 0.01 – 100,000+ |
| Volume (V) | Number of shares/units traded | Units | 1 – Millions |
| Total Value (PV) | Capital exchanged (P × V) | Currency ($) | Variable |
| VWAP | The volume weighted average | Currency ($) | Near market price |
Practical Examples of VWAP Calculation
Example 1: Institutional Accumulation
A mutual fund manager buys shares of TechCorp in three batches throughout the morning. To calculate volume weighted average for their position:
- Trade 1: 1,000 shares at $50.00
- Trade 2: 5,000 shares at $52.00 (Price went up)
- Trade 3: 500 shares at $49.00 (Dip)
Step 1 (Total Value): (1000×50) + (5000×52) + (500×49) = $50,000 + $260,000 + $24,500 = $334,500
Step 2 (Total Volume): 1000 + 5000 + 500 = 6,500 shares
Step 3 (Result): $334,500 / 6,500 = $51.46
Interpretation: Even though they bought some shares at $49, the heavy volume at $52 pulled the average up significantly.
Example 2: Cryptocurrency Averaging
A crypto trader buys Bitcoin in small increments:
- Buy 1: 0.1 BTC at $30,000
- Buy 2: 0.5 BTC at $28,000
Total Value: (0.1×30k) + (0.5×28k) = $3,000 + $14,000 = $17,000
Total Volume: 0.6 BTC
VWAP: $17,000 / 0.6 = $28,333.33
How to Use This Calculate Volume Weighted Average Tool
- Enter Execution Price: Input the price for a specific trade or time period (e.g., the close price of a 5-minute candle).
- Enter Volume: Input the number of shares or units traded at that specific price.
- Add Rows: Use the "Add Trade Row" button to include as many transactions as needed for your calculation period.
- Review Results: The tool instantly updates the VWAP result, total volume, and total value.
- Analyze the Chart: The dynamic chart visualizes the execution price of each trade relative to the running VWAP line, helping you visualize how specific large trades impact the average.
Key Factors That Affect VWAP Results
When you calculate volume weighted average, several market factors influence the outcome:
- Volume Spikes: High volume on a single candle/trade has a gravitational pull on the VWAP line. A price change on low volume barely moves the VWAP.
- Time of Day: In equity markets, the "opening drive" (first 30 mins) and "closing cross" often have the highest volume, anchoring the VWAP for the rest of the session.
- Market Liquidity: In illiquid markets, large orders cause "slippage," increasing the variance between execution price and VWAP.
- Trend Direction: In a strong uptrend, the current price typically stays above the intraday VWAP. If price crosses below, it may signal a reversal.
- Algorithm Participation: Many HFT (High-Frequency Trading) algorithms are programmed to execute orders as close to the VWAP as possible to minimize market impact.
- News Events: Sudden news causes volatility and volume surges, often resetting the significance of the prior VWAP trend.
Frequently Asked Questions (FAQ)
Why is VWAP more important than a simple moving average (SMA)?
VWAP accounts for volume, which represents the conviction behind the price move. An SMA treats a 100-share trade the same as a 100,000-share trade, whereas VWAP accurately weights the heavier participation.
Can I use this calculator for Dollar Cost Averaging (DCA)?
Yes. Calculating your break-even price on a stock position where you bought at different prices is mathematically identical to the VWAP formula.
Does VWAP reset every day?
Yes, standard Intraday VWAP resets at the market open. However, "Anchored VWAP" allows traders to calculate volume weighted average starting from a specific date or event.
Is a price above VWAP bullish or bearish?
Generally, if the price is above the VWAP, the short-term trend is considered bullish (buyers are in control). If below, it is considered bearish.
What is a good VWAP deviation?
Traders often use standard deviation bands around the VWAP. Buying at the second standard deviation below VWAP is often considered "cheap," while selling at the second deviation above is "expensive."
How does dividend reinvestment affect VWAP?
If you are calculating the VWAP of a long-term portfolio, you should treat reinvested dividends as new "buy" transactions with their own price and volume (share count).
Can this calculate volume weighted average for crypto?
Absolutely. The math is universal. Simply enter the coin price and the amount of coins (volume) for each transaction.
Why do institutions care about VWAP?
It is a metric of execution skill. If a broker buys shares for a client at a price lower than the daily VWAP, they have theoretically saved the client money compared to the market average.
Related Tools and Internal Resources
Enhance your financial analysis with our suite of calculation tools:
- Investment Return Calculator – Determine your total ROI including dividends and fees.
- Stock Average Calculator – A simpler version of VWAP for personal portfolio averaging.
- Position Size Calculator – Manage risk by calculating optimal trade size before entry.
- Market Cap Calculator – Understand the total value of a company based on share price.
- Break Even Point Calculator – Find the exact price needed to cover costs and commissions.
- Profit Margin Analysis – Analyze the profitability ratios of your trades or business.
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container.appendChild(row);
}
}
function addTradeRow() {
trades.push({ price: 0, volume: 0 });
renderInputs();
calculateVWAP();
}
function removeTrade(index) {
if (trades.length > 1) {
trades.splice(index, 1);
renderInputs();
calculateVWAP();
} else {
// Clear the last remaining row instead of deleting it
trades[0] = { price: 0, volume: 0 };
renderInputs();
calculateVWAP();
}
}
function updateTrade(index, field, value) {
var val = parseFloat(value);
if (isNaN(val)) val = 0;
trades[index][field] = val;
calculateVWAP();
}
function resetCalculator() {
trades = [
{ price: 0, volume: 0 },
{ price: 0, volume: 0 },
{ price: 0, volume: 0 }
];
renderInputs();
calculateVWAP();
}
function calculateVWAP() {
var totalVolume = 0;
var totalValue = 0;
var validTrades = 0;
// Arrays for chart
var chartLabels = [];
var chartPrices = [];
var chartVWAPs = [];
var runningVol = 0;
var runningVal = 0;
for (var i = 0; i 0) {
var tradeVal = p * v;
totalVolume += v;
totalValue += tradeVal;
validTrades++;
// Chart data accumulation
runningVol += v;
runningVal += tradeVal;
var currentVWAP = runningVal / runningVol;
chartLabels.push('Trade ' + (i + 1));
chartPrices.push(p);
chartVWAPs.push(currentVWAP);
}
}
var vwap = 0;
if (totalVolume > 0) {
vwap = totalValue / totalVolume;
}
// Update DOM
document.getElementById('res-vwap').innerText = '$' + vwap.toFixed(2);
document.getElementById('res-total-vol').innerText = totalVolume.toLocaleString();
document.getElementById('res-total-val').innerText = '$' + totalValue.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2});
document.getElementById('res-count').innerText = validTrades;
drawChart(chartLabels, chartPrices, chartVWAPs);
}
function copyResults() {
var vwap = document.getElementById('res-vwap').innerText;
var vol = document.getElementById('res-total-vol').innerText;
var val = document.getElementById('res-total-val').innerText;
var text = "VWAP Calculation Results:\n" +
"VWAP: " + vwap + "\n" +
"Total Volume: " + vol + "\n" +
"Total Traded Value: " + val + "\n";
var textArea = document.createElement("textarea");
textArea.value = text;
document.body.appendChild(textArea);
textArea.select();
document.execCommand("Copy");
textArea.remove();
var btn = document.querySelector('.btn-primary');
var originalText = btn.innerText;
btn.innerText = "Copied!";
setTimeout(function(){ btn.innerText = originalText; }, 2000);
}
// Canvas Chart Implementation
function drawChart(labels, prices, vwaps) {
var canvas = document.getElementById('vwapChart');
var ctx = canvas.getContext('2d');
// Handle high DPI
var dpr = window.devicePixelRatio || 1;
var rect = canvas.getBoundingClientRect();
canvas.width = rect.width * dpr;
canvas.height = rect.height * dpr;
ctx.scale(dpr, dpr);
var width = rect.width;
var height = rect.height;
ctx.clearRect(0, 0, width, height);
if (labels.length === 0) {
ctx.fillStyle = "#999";
ctx.font = "14px Arial";
ctx.fillText("Enter trade data to visualize chart", width/2 – 100, height/2);
return;
}
var padding = { top: 40, right: 20, bottom: 40, left: 50 };
var chartWidth = width – padding.left – padding.right;
var chartHeight = height – padding.top – padding.bottom;
// Calculate scales
var allValues = prices.concat(vwaps);
var minVal = Math.min.apply(null, allValues);
var maxVal = Math.max.apply(null, allValues);
// Add buffer
var range = maxVal – minVal;
if (range === 0) range = maxVal * 0.1 || 10;
minVal = Math.max(0, minVal – range * 0.1);
maxVal = maxVal + range * 0.1;
var scaleY = chartHeight / (maxVal – minVal);
var stepX = chartWidth / Math.max(1, labels.length – 1);
if (labels.length === 1) stepX = chartWidth / 2; // Center single point
// Draw Axes
ctx.beginPath();
ctx.strokeStyle = '#ddd';
ctx.lineWidth = 1;
// Y Axis line
ctx.moveTo(padding.left, padding.top);
ctx.lineTo(padding.left, height – padding.bottom);
// X Axis line
ctx.lineTo(width – padding.right, height – padding.bottom);
ctx.stroke();
// Draw Y Labels (5 steps)
ctx.fillStyle = '#666′;
ctx.font = '10px Arial';
ctx.textAlign = 'right';
for (var i = 0; i <= 5; i++) {
var val = minVal + (maxVal – minVal) * (i / 5);
var y = height – padding.bottom – (val – minVal) * scaleY;
ctx.fillText('$' + val.toFixed(2), padding.left – 10, y + 3);
// Grid lines
ctx.beginPath();
ctx.strokeStyle = '#eee';
ctx.moveTo(padding.left, y);
ctx.lineTo(width – padding.right, y);
ctx.stroke();
}
// Draw Execution Prices (Bar-like or Dots) – Let's do Dots for clarity against line
for (var i = 0; i < prices.length; i++) {
var x = padding.left + (labels.length === 1 ? chartWidth/2 : i * stepX);
var y = height – padding.bottom – (prices[i] – minVal) * scaleY;
// Draw Point
ctx.beginPath();
ctx.fillStyle = '#004a99'; // Blue for price
ctx.arc(x, y, 5, 0, Math.PI * 2);
ctx.fill();
// Label
if (labels.length < 10) {
ctx.fillStyle = '#333';
ctx.textAlign = 'center';
ctx.fillText('$' + prices[i].toFixed(2), x, y – 10);
ctx.fillText('T' + (i+1), x, height – padding.bottom + 15);
}
}
// Draw VWAP Line
ctx.beginPath();
ctx.strokeStyle = '#28a745'; // Green for VWAP
ctx.lineWidth = 3;
for (var i = 0; i < vwaps.length; i++) {
var x = padding.left + (labels.length === 1 ? chartWidth/2 : i * stepX);
var y = height – padding.bottom – (vwaps[i] – minVal) * scaleY;
if (i === 0) ctx.moveTo(x, y);
else ctx.lineTo(x, y);
}
ctx.stroke();
// Legend
ctx.fillStyle = '#004a99';
ctx.beginPath();
ctx.arc(padding.left + 20, padding.top – 20, 5, 0, Math.PI * 2);
ctx.fill();
ctx.fillStyle = '#333';
ctx.textAlign = 'left';
ctx.fillText("Exec Price", padding.left + 30, padding.top – 16);
ctx.strokeStyle = '#28a745';
ctx.beginPath();
ctx.moveTo(padding.left + 100, padding.top – 20);
ctx.lineTo(padding.left + 140, padding.top – 20);
ctx.stroke();
ctx.fillStyle = '#333';
ctx.fillText("Cumulative VWAP", padding.left + 150, padding.top – 16);
}