VWAP (Volume-Weighted Average Price)

Volume-Weighted Average Price (VWAP) is the average price of an asset over a period, weighted by the volume traded at each price level.

Unlike TWAP, VWAP gives more weight to prices where more volume changed hands, so it reflects where the bulk of trading actually occurred. Traders use VWAP as an execution benchmark to judge whether fills beat or trailed the market. Computing VWAP requires both price and volume, which OHLCV candles carry per interval, letting a caller derive VWAP over any window from our candle feed rather than reconstructing it from raw trades.