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Glossary / Market structure

VWAP

Definition

The volume weighted average price traded so far in a session.

Why it matters

Institutional execution benchmarks against VWAP, which is why price frequently reacts around it intraday.

Formula

VWAP = Sum(Price x Volume) / Sum(Volume)

Example

Price at 4,010 with session VWAP at 4,002 means the average buyer today is in profit - many intraday traders only take longs while price holds above it.

How to track it in a journal

TradeStack calculates the core performance numbers — win rate, average win and loss, profit factor, expectancy, drawdown and consistency — automatically from imported trades, so vwap stops being something you estimate and becomes something you read.

Related terms

Slippage
The difference between your expected fill price and the price you actually get.
Spread
The gap between the best bid and the best ask.
Liquidity
How much size a market can absorb without moving price.
Volatility
How much price moves over a given period.

Keep reading

Trading journal guides
Expectancy, profit factor, drawdown, backtesting and the PDT rule.
Free trading calculators
Position size, risk-reward, expectancy and options profit.
Expectancy calculator
Expected profit per trade from your own numbers.
Broker CSV export guides
Step-by-step exports for Tradovate, NinjaTrader, IBKR and more.
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