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Definition

The volume-weighted average price (VWAP) is a measure that indicates the average price of an asset, adjusted for its volume over a specified period. VWAP gives traders a smoothed-out indication of an asset’s price (adjusted for volume) over a given period. VWAP provides traders with insight into both the trend and value of an asset. For example, institutional traders use VWAP to ensure that their trades do not significantly impact the price of the asset they are trying to buy or sell. Amberdata provides VWAP data aggregated minutely, hourly, or daily for covered exchanges.

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Details

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.

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API Endpoints

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Spot

/market/spot/vwap/assets/information /market/spot/vwap/assets//historical /market/spot/vwap/pairs/information /market/spot/vwap/pairs//historical

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Availability

VWAP endpoints are available via REST API for historical (time series) data and WebSockets for real-time data.
ExchangeSpot Market Start Date*
Binance2017-07-14 00:00:00+00:00
Binance.US2019-09-17 00:00:00+00:00
Bitfinex2013-03-31 00:00:00+00:00
Bitmex2024-03-29 00:00:00+00:00
Bithumb2021-08-30 15:00:00+00:00
Bitstamp2011-08-18 00:00:00+00:00
ByBit2021-07-05 00:00:00+00:00
FTX**2019-07-21 00:00:00+00:00
GDAX (Coinbase Pro)2015-04-21 00:00:00+00:00
Gemini2020-07-19 04:00:00+00:00
Huobi2017-07-27 16:00:00+00:00
Kraken2016-07-19 00:00:00+00:00
LMAX2018-02-20 00:00:00+00:00
Mexc2017-10-25 16:00:00+00:00
OKX (OKeX)2019-07-11 00:00:00+00:00
Poloniex2014-01-18 00:00:00+00:00
Upbit2025-03-28 00:00:00+00:00
ZB2017-10-29T16:00:00+00:00
*These dates represent the oldest start date for Global VWAP data across all pairs **As of 2022-11-12, FTX is no longer available, but historical data will remain available

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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 execute the trade order completely. 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.
How do you define what price is?
  • Price is defined as (H+L+C)/3. For VWAP, Open is excluded from calculation due to its variations that may skew results.
What is the lookbackPeriod parameter?
  • Different users may require VWAP calculated over varying lookback periods, such as 1 hour (60 minutes) or as short as 5 minutes. The lookbackPeriod parameter is configurable to accommodate these preferences. The timestamp for each VWAP data point corresponds to the end of its respective time window.
  • For historical VWAP data, retrieving data for the past 10 minutes would yield 10 data points in the time series. Each timestamp corresponds to T minus 1, T minus 2, T minus 3 minutes, and so on. Each data point is computed based on the specified lookback period.