Understand and calculate VWAP

Calculate it from three executions

Three executions occur at 100 for two contracts, 101 for one and 102 for three. The weighted sum is 607 and volume is six. VWAP is therefore 101.1667. The unweighted mean of the three prices would be 101 and answers a different question.

Tick data and bars are different inputs

Complete execution data allows direct calculation of the weighted price. A bar-based calculation needs a representative price for each bar, such as typical price. That approximation may differ from execution-based VWAP. With zero total volume, the quotient is undefined.

The start point matters too. A calculation from the futures session open differs from one anchored at the US cash-market open. Record the anchor and time zone before comparing two charts.

Configure VWAP in the PRAETIR web chart

In the web chart, choose Close, HLC3 or OHLC4 as the price basis and day, RTH or Globex as the session anchor. Up to three deviation bands can be enabled. The previous session’s VWAP can also serve as a reference. Record the price basis, session and bands in your trade evidence when comparing views.

Deviation initially describes a distance

A price above VWAP is above the chosen volume-weighted average. That alone establishes neither overvaluation nor an imminent return. If you review VWAP rejections, define rejection in advance and include failed cases. For bands, the deviation calculation must also be defined.