Prior Session VWAP Indicator: Formula, Settings and How to Read It

Prior Session VWAP marks the volume-weighted average price of the previous session, frozen at that session's close and projected as a dotted level across the current one.

Senzoukria · Indicators · Updated September 2026

Prior Session VWAP ships with the Senzoukria desktop app, in the Structure & sessions group of the indicator catalogue. It is drawn on the price chart.

What Prior Session VWAP measures

The level is the sum of typical price times volume divided by total volume over every bar of the previous session, where typical price is (high + low + close) / 3 — the same VWAP convention as the live session VWAP drawn on the chart, so the frozen level and the running line are computed identically. Bars that carry no volume contribute nothing to either the numerator or the denominator. If the previous session recorded no volume at all, no level is drawn, because a zero denominator does not produce a price. Unlike a pivot, which comes from three prices of the previous session, this level depends on where the volume actually traded.

The formula, as implemented

This is not a description of how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:

VWAP de la session PRÉCÉDENTE, figé à sa clôture : pVWAP = Σ(tp·vol) / Σvol sur TOUTES les barres de la session N−1, tp = prix typique (H+L+C)/3 (`typicalPrice` — la convention VWAP du repo, parité famille vwap.ts / ATAS / Sierra), vol = volume de barre (les barres sans volume n'alimentent rien). Projeté en niveau pointillé sur la session N. Session précédente à volume nul → pas de niveau (0/0 n'est pas un prix).

How to read it

  • The level marks the average price at which the previous session's volume changed hands, so it is a reference point of that session's participation rather than a boundary.
  • Trading back to it after opening away from it means the market is revisiting yesterday's average transaction price; the footprint on arrival shows whether that revisit is being absorbed.
  • A session that spends its whole day on one side of the prior VWAP is trading at prices the previous day's participants did not, on average, pay.
  • Look at where the level sits inside the previous session's range on the chart: near one end means the volume clustered away from the centre of that range.
  • Because the level is static, distance from it grows mechanically in a trending market; the distance is a description, not a stretch signal.

What it does not show

A single number summarises an entire session, so it cannot tell you whether that session trended in one direction or rotated, nor where within its range the volume clustered. In a thin session a few large trades dominate the average. Volume comes from the data source: if the previous session is only partially loaded, the level is computed from the bars present and will not match a full-session calculation. After a gap the level may sit far from price and never be reached, which is information about the gap, not a pending target.

Using it in Senzoukria

Add it from the Indicators panel of any footprint chart or candle chart. It runs on futures data from Rithmic or Databento and on crypto pairs from Binance and Bybit, on the same engine — the calculation does not change with the venue, only the data feeding it does. Market data subscriptions are billed by the provider, separately from the app.

See the full indicator library, or start with the order flow guide if you are new to reading aggression, delta and absorption.

Frequently asked questions

How is prior session VWAP calculated?
Each bar of the previous session contributes its typical price, (high + low + close) / 3, weighted by its volume. The sum of those weighted prices divided by the total volume gives one number, which is then frozen at the session close and drawn on the following session.
Why is the prior session VWAP missing on my chart?
Two cases produce no level: the previous session recorded no volume at all, which makes the calculation a division by zero, and the absence of a previous session in the loaded history, which is normal at the left edge of a chart.
What is prior session VWAP used for?
It is a fixed reference to the average price at which the previous session traded, used to judge whether the current session is doing business above or below that level. It carries no directional instruction on its own and is usually read together with the current session's own VWAP.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.