The average price that was actually paid.
VWAP weights every price by the volume traded there, so it tells you the average cost of everyone already positioned. Anchoring it to the session, the day or the week changes who you are asking.
Four anchors
By instrument session, daily, weekly from Monday, or a rolling window of N bars. The anchor decides where the calculation starts, and with it, the level.
Deviation bands
Up to three bands each side, with their own multiplier. They measure how far price has pulled away from its weighted average, which is not the same as how far it has moved.
Labelled levels
Every band carries its tag —VWAP, SD1, SD2, SD3— so you never have to count lines.
What each term means
The names the indicator uses, and what each one means.
- VWAP. Volume Weighted Average Price.
- Anchor. Where the calculation starts accumulating. Change it and the level changes.
- Session. Resets with the instrument's session.
- Daily / Weekly. Daily reset, or weekly from Monday.
- Rolling. A moving window of N bars, with no reset.
- SD1 · SD2 · SD3. Bands at one, two and three standard deviations from VWAP.
Where it lives
Included in Starter, Essential and Complete. Starter is the free pack, so this indicator can be tried at no cost.