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Definition

Volume-weighted average price (VWAP) calculates the average price of an asset by aggregating price data from multiple decentralized exchanges and weighting each price by the trading volume on each liquid market where the asset is traded. VWAP serves as a technical indicator for traders, an order execution option offered by brokers or exchanges, a benchmark, or a pricing mechanism. Amberdata provides VWAP data aggregated minutely, hourly, or daily for all decentralized exchanges covered, with historical data available back to the genesis block for supported networks. VWAP offers insights into both the trend and value of an asset.

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Details

VWAP is calculated over a specified trading session by dividing the total dollar value of trading in the asset by the total trade volume during the period. Prices for this endpoint are denominated in ETH. Calculation is performed across all exchanges weighted by volume, with a 1-minute frequency and a configurable lookback period. VWAP is derived from OHLCV data using the formula: (High + Low + Close) / 3.

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API Endpoints

/market/defi/vwap/asset/information /market/defi/vwap/asset/{asset}/latest /market/defi/vwap/asset/{asset}/historical /market/defi/vwap/pairs/information /market/defi/vwap/pairs/bases/{base}/quotes/{quote}/latest /market/defi/vwap/pairs/bases/{base}/quotes/{quote}/historical

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Availability

VWAP data is accessible via REST API for historical (time series) data and via WebSockets for real-time data. Updates occur each time a new block is mined. VWAP data is available for every asset and trading pair on all supported DEXs.

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Frequently Asked Questions

Who uses VWAP?
  • VWAP is widely used by traders engaged in high-frequency trading and quantitative strategies such as algorithmic trading. It facilitates large order execution by breaking them into smaller portions.
Does VWAP affect market volatility?
  • VWAP signals do not impact market volatility. Traders can execute large volumes at a single price over time without causing volatility spikes, enabling easier implementation of substantial orders.
How is TWAP different from VWAP?
  • Timing: VWAP is weighted by both volume and time; TWAP is weighted solely by time.
  • Calculation complexity: VWAP calculation is more complex due to volume weighting, whereas TWAP is simpler to compute.