“The client provides instructions that by definition outperform VWAP”
What is VWAP?
How is VWAP calculated?
- aggregate Volume Per Trade
- for each trade, multiply Price x Volume
- aggregate Price x Volume
- divide 3) by 1)
A new VWAP is calculated after each trade is completed. If you pay attention, VWAP is a form of moving average. It lags current price because it is calculated based on past data.
Note on data collection
Do I care about VWAP?
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