VWAP (volume-weighted average price)
VWAP, the volume-weighted average price, is the average price a stock has traded at so far today, with each price weighted by the number of shares traded there. It starts fresh each session and is drawn on an intraday chart as a single line that moves with the day's trading.
Why it matters to a small-cap momentum trader
Day traders read VWAP as the day's fair price. Above it, the average buyer today is in profit and buyers are in control; below it, the average buyer is under water and rallies tend to meet sellers. Momentum traders often look for a long entry on a pullback that holds VWAP, or on a reclaim of VWAP after a dip, and treat a clean break below it as a reason to get out. Large traders measure their own fills against VWAP, which is one reason price often reacts there.
How it is calculated
VWAP = the sum of price × volume for every trade today, divided by the total volume today.
On a chart it is usually built bar by bar from each bar's typical price, (high + low + close) ÷ 3, times its volume. Because it is cumulative, VWAP moves a lot early in the day and less as volume builds.
There is no exchange rule behind VWAP. It is a calculation, and traders treat it as a level.
VWAP in Hindsight Markets
VWAP is one of the chart studies, drawn from the bars of the day you replay, so it never includes a trade the clock has not reached yet. The scanner can rank by distance from VWAP, and the journal shows VWAP on the chart of every trade you open.
Practice this on a real past day in Hindsight Markets
Replay a morning mover, watch how price behaves at VWAP as the clock runs, and practise the pullback entry with simulated money.