Volume Weighted Average Price (VWAP) Definition.
In finance, volume-weighted average price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price at which a stock is traded over the trading horizon. VWAP is often used as a trading benchmark by investors who aim to be as passive as possible in their execution.
You may compare the daily TWAP output by adding it to a Daily VWAP chart. On our blog we have posts discussing larger timeframe VWAPs and different approaches to trading the VWAP. The Current Day TWAP can be set to calculate for the entire trading day or it can be set to calculate for custom hours such as the regular session. When a custom.
Here we are experimenting with using TWAP for trend analysis. It appears to work better than VWAP on lower timeframes. TWAP is a tool used by algorithm based traders that allows them to distribute their orders throughout the day without disturbing price or having their positions known to rival traders in the market. It's similar to VWAP and serves the same function, except it lacks the volume.
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For the TWAP algo, the average price calculation is calculated from the order entry time through the close of the market and will only attempt to execute when the criterion is met. The order may not fill throughout its stated duration and so the order is not guaranteed. TWAP is available for all US equities. Notes: The Reference Table to the upper right provides a general summary of the order.