Crypto glossary
VWAP (volume-weighted average price)
VWAP, the volume-weighted average price, is the average price an asset traded at over a period, weighting each trade by its size.
VWAP is calculated by multiplying the price of each trade by its volume, adding those values up and dividing by the total volume traded. The result is the true average price paid in a session, which differs from a simple average because large trades count more. On charts it appears as a line that usually resets at the start of each day, often in UTC on crypto platforms.
Institutions use VWAP as an execution benchmark: a fund buying a large amount of bitcoin judges its trader by whether the average fill beat the day's VWAP, and execution algorithms slice orders to track it. Intraday traders treat the line as a gauge of whether buyers or sellers are in control, with price above VWAP read as strength. Anchored VWAP, started from a chosen event such as a crash low, is also popular.
VWAP lags and says nothing about the future on its own. In crypto, volume is split across many exchanges, so a VWAP built from one venue's data can differ from the market-wide figure.
Example
An asset manager buys 300 BTC through an algorithm over a day. The broker reports an average fill 0.1% below the day's VWAP, which counts as good execution.