Microstructure · Core
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
VWAP = Σ(price × volume) / Σ volume over the interval. Participation algos chase it. Beating VWAP can mean you were passive in a trend or lucky. It is not an intrinsic value.
Why it matters
Most equity TCA is VWAP or arrival. Agents optimize the benchmark you give them, including the games that come with it.
Case
A buy program that finishes early into a selloff ‘beats VWAP’ and still paid more than waiting. The benchmark hid the timing.
How to read it
State the window and whether you were a large fraction of volume. Arrival price plus implementation shortfall is the honester score.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.