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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/volume/vwap/Vwap.md
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| **PineScript** | [vwap.pine](vwap.pine) |
- VWAP (Volume Weighted Average Price) calculates the cumulative average price weighted by trading volume, typically reset at session boundaries.
- Parameterized by `period` (default 0).
- Output range: Unbounded.
- Requires `> 1` bars of warmup before first valid output (IsHot = true).
- **Similar:** [TWAP](../twap/Twap.md), [EVWMA](../evwma/Evwma.md) | **Complementary:** VWAP bands | **Trading note:** Volume-Weighted Average Price; institutional benchmark. Above VWAP = favorable fill for buyers.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
VWAP (Volume Weighted Average Price) calculates the cumulative average price weighted by trading volume, typically reset at session boundaries. It represents the true average price at which a security has traded throughout the period, giving more weight to prices where higher volume occurred. This implementation supports flexible period-based resets rather than traditional session-based anchoring.
@@ -183,4 +181,4 @@ VWAP implementations vary primarily in reset behavior. This implementation uses
- Berkowitz, S., Logue, D., & Noser, E. (1988). "The Total Cost of Transactions on the NYSE." *Journal of Finance*.
- Madhavan, A. (2002). "VWAP Strategies." *Trading*, Spring 2002.
- Kissell, R. (2006). "The Science of Algorithmic Trading and Portfolio Management." *Academic Press*.
- Kissell, R. (2006). "The Science of Algorithmic Trading and Portfolio Management." *Academic Press*.