Global VWAP


The volume-weighted average price (VWAP) is a mechanism used to calculate the average price of an asset by taking price data from multiple decentralized exchanges and weighting each price by the amount of volume on each liquid market an asset is trading on. It is used as a technical indicator for traders, an order option offered by brokers or exchanges, a benchmark or as a pricing mechanism.

Amberdata provides VWAP data aggregated minutely, hourly, or daily for all decentralized exchanges we cover, with historical data as far back as the genesis block for any of our supported networks.

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. The prices for this endpoint are denominated in ETH.

It is calculated across all exchanges, 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.

API Endpoints



Our VWAP endpoints are available via REST API for historical (time series) data as well as WebSockets for real-time data. These are updated each time a new block is mined. VWAP data is available for every asset and trading pair on every DEX we support.

Frequently Asked Questions

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:
  1. Timing - VWAP is calculated by weighing it on the basis of volume and time whereas TWAP is calculated on the basis of time.
  2. 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.