Volume-Weighted Average Price
VWAP is the day’s (or window’s) average price weighted by volume — a benchmark for whether you traded with the tape or against it.
Definition
Volume-Weighted Average Price refers to a benchmark for whether you traded with the tape or against it. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Price formation at the venue layer decides whether a signal survives implementation. When a benchmark for whether you traded with the tape or against it shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what volume-weighted average price is saying. If a benchmark for whether you traded with the tape or against it moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Measure spread, queue, and impact at your size; paper fills are not a desk edge. Prefer a short written null hypothesis for Volume-Weighted Average Price: what would falsify the current reading in the next window?