Volume-Weighted Average Price (VWAP)

Total traded value divided by total shares traded over a defined period, usually from the session start. The anchor time and which trades are included change the number.

Calculation

VWAP = Σ(price × shares) ÷ Σ(shares) for the trades since the anchor. It updates with every trade, so it is an average of the past, not a level anyone is obliged to defend. VWAP began as an institutional execution benchmark (Berkowitz, Logue and Noser, 1988): a way to judge whether a large order was filled well against the day's average.

Anchor and session

Platforms differ. Some anchor at 04:00 ET with premarket trades included; others at 09:30 ET. On a small-cap gapper that traded higher in premarket, a premarket-inclusive VWAP can sit well above a regular-session VWAP, so a stock can be "below VWAP" on one screen and "above" on another. State which VWAP you use.

VWAP reclaim

Trader usage for price trading back above VWAP after a period below it. It has no standard definition; to count reclaims, write one down first (for example: the first 1-minute close above VWAP after at least 10 consecutive closes below). A reclaim is a starting condition with several outcomes: it can hold, fail within minutes, or chop around the line.

VWAP rejection

Trader usage for price reaching VWAP from below (or above) and turning away without crossing and holding. A countable version: after at least 10 consecutive closes below VWAP, a 1-minute bar whose high comes within 1 cent of VWAP and which closes at least 3 cents below it in the same bar. A rejection can be followed by a move away from VWAP or by a reclaim minutes later.

What traders should verify

Use VWAP as a reference line with a written anchor. When studying reclaims or rejections, log every occurrence that meets the definition, including those not traded, and record the result after costs.

Do not conflate

Usage term for reclaims and rejections; the formula is standard but platform settings are not. A VWAP crossing is not a signal, and no FennEdge study has measured reclaim or rejection outcomes yet (data study S2 is planned).

Primary source

Berkowitz, Logue and Noser, 1988