The volume-weighted average price (VWAP) is a measurement that shows the average price of an asset, adjusted for its volume over a given period of time. VWAP gives traders a smoothed-out indication of an asset’s price (adjusted for volume) over a given period of time. Institutional traders use VWAP to ensure that their trades do not move the price of the asset they are trying to buy or sell too extremely.
Amberdata provides VWAP data aggregated minutely, hourly, or daily for all exchanges we cover, with historical data back to 2012 for some exchanges.
VWAP provides traders with insight into both the trend and value of an asset.
VWAP is calculated during a specific trading session by taking the total dollar value of trading in the asset and dividing it by the volume of trades for the specified period of time.
It is calculated across all exchanges (or a single exchange if specified) weighted by volume with a 1 minute frequency and a configurable lookback period. It is derived from the OHLCV data with the following calculation: (H+L+C) / 3.
Our VWAP endpoints are available via REST API for historical (time series) data as well as WebSockets for real-time data.
This table outlines how far back our VWAP data goes across the different exchanges within the Spot market:
|Exchange||Spot Market Start Date*|
|GDAX (Coinbase Pro)||2014-12-01|
*These dates represent the oldest start date we have for Global VWAP data across all pairs
**As of 2022-11-12, we stopped supporting FTX, but historical data will remain available
Who uses VWAP?
- The VWAP execution strategy is a success amongst traders who do High-Frequency Trading or other types of Quantitative trading like algorithmic trading. It simply divides the large orders into small portions and makes it easier for investors.
Does VWAP affect volatility in markets?
- No, VWAP signals do not affect the volatility of the markets. In the case of the VWAP execution trading strategy, the trader can place a huge volume of trade orders and then transact at a single price. This is true even if it takes a long time to completely execute the trade order. Hence, huge trade orders can be implemented easily.
How is TWAP different from VWAP?
- VWAP and TWAP have the following key differences:
- Timing - VWAP is calculated by weighing it on the basis of volume and time whereas TWAP is calculated on the basis of time.
- Process - It is more complex to calculate the value of VWAP as compared to TWAP since VWAP involves a complicated process to calculate the value of the weighted average price.
How do you define what price is?
- There are many methods and ways to define price. At Amberdata, we define price as (H+L+C)/3. For VWAP, we decided to exclude the Open from the calculation because Open could have a lot of variation that will skew the result. With Open, you dont know what happens before, while the High, Low and Close are very standard or specific.
What is the
- Some people may want a VWAP with 1 hour (60 minutes) of volume lookback, and others may want just a 5 minute lookback. The
lookbackPeriodparameter is configurable, which allows our users to decide what number they want this to be. The timestamp is always the timestamp at the end of the window.
- For historical VWAP data, if you want to retrieve the past 10 minutes, there would be 10 data points in the time series and each timestamp is going to be T minus 1, T minus 2, T minus 3, etc. Each data point is calculated with the lookback period you specify.
Updated 6 months ago