VWAP (volume-weighted average price)
VWAP is the volume-weighted average price of a session: the running sum of price times volume divided by the running sum of volume, reset at each session open. It describes the average price at which contracts actually changed hands, which is why desks measure their own execution against it and why price reacts around it.
Senzoukria · Glossary · Updated September 2026
How it is computed
Each bar contributes its typical price, (high + low + close) / 3, multiplied by its volume. VWAP at any moment is the sum of those products divided by the sum of volume since the session opened. A large print pulls the line toward its price more than a small one, because volume is the weight, and the line never jumps: it drifts as trades accumulate.
- Session VWAP restarts at the session open. On CME futures the trading day begins at 17:00 Chicago time, so the overnight is part of the same calculation as the regular hours that follow.
- Bars with no volume add nothing to either sum; before the first traded volume of the session there is no VWAP, and no value is drawn rather than a placeholder.
- A rolling VWAP replaces the session anchor with a sliding window of N bars. It answers a different question, the average price of the last N bars, and it is not a substitute for the session line.
How to read it
- Price above VWAP means the average participant who bought this session is in profit; below it, the average seller is. That is the intraday bias, not a signal by itself.
- Price sitting on VWAP is equilibrium. Rotations tend to return to it in balanced sessions, and a reclaim or a rejection at the line is more informative than the touch.
- Because the line is weighted by volume, a quiet drift far from VWAP with thin volume moves it little; a heavy auction near the line anchors it.
In Senzoukria
In the desktop chart the indicator panel lists Session VWAP + σ bands in the VWAP & bands group; it computes the session line with its ±1σ and ±2σ envelopes and resets at each 17:00 CT session open. Rolling VWAP is a separate overlay with a Period parameter that defaults to twenty bars. Prior Session VWAP projects the previous session's final VWAP as a dotted level on the current one. On the heatmap, the POC / VA / VWAP levels toggle draws a VWAP that starts when the app was opened, which the setting itself states is not the session VWAP.
Common mistakes
- Comparing a session VWAP from one platform with a rolling VWAP from another, or two session VWAPs with different session starts, and concluding one is wrong.
- Reading a partially loaded session as a complete VWAP. If the first hours are missing, the line describes only what was loaded.
- Trading the touch alone. The guide on this site treats the reaction at VWAP, absorption that holds it or a volume-backed break through it, as the actual information.
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Frequently asked questions
- Does VWAP use the close or the typical price of each bar?
- Conventions vary by platform. Senzoukria weights the typical price, (high + low + close) / 3, by bar volume, the convention shared across its VWAP family and documented as the typical-price convention of ATAS and Sierra Chart. On tick-level data the difference is small; on wide time bars it can shift the line by a few ticks, so compare like with like.
- Why does my VWAP differ from another platform's?
- The usual causes are a different session start, a different price input per bar, or a different amount of history loaded. A VWAP anchored at midnight and one anchored at the 17:00 CT open diverge for the whole day. Align the session definition first, then compare the value at the same timestamp.
- Is VWAP only for futures?
- No. It is a market-structure calculation that works wherever price and volume are reported, including stocks and crypto. Only the session it resets on changes. Senzoukria applies it to CME futures and to crypto pairs in analysis mode.