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VWAP

The average price over a period weighted by size: every trade enters the calculation with the weight of its own volume.

Formula

VWAP=∑PiVi∑Vi

P is the trade price and V its size; the sums run over every trade in the chosen period.

How to read the number

It shows where the instrument genuinely changed hands, rather than where the midpoint of the day's range happened to sit.

When the metric lies

Also known as: vwap

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