Skip to content
GetProfitable
Search
Dictionary

VWAP algorithm

Slicing an order in proportion to the expected volume profile of the day, so the fill tracks the volume-weighted average price.

Most markets have a U-shaped intraday volume curve: heavy at the open, thin at midday, heavy into the close. A VWAP algo front-loads and back-loads the schedule to match, trading more shares when more liquidity exists.

It is measured against the day's actual vwap, which makes it popular as a benchmark for agency execution: beating VWAP is a defensible definition of a good job. That benchmark is also gameable, since an algo can guarantee near-VWAP by simply being average.

The forecast is the weak point. Volume profiles shift on index rebalance days, expiry days, and around news, and an algo following yesterday's profile into an unusual day will be badly scheduled. Most implementations blend a historical profile with live volume tracking.

Related: twap-algorithm, vwap, execution-algorithm, pov-algorithm

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Intraday price swinging around VWAPA price line for one trading day weaving above and below a smoother VWAP line, with a band drawn one standard deviation either side of it.INTRADAY PRICE AND VWAPprice9:3012:4516:00+1 SD bandVWAP−1 SD bandIllustrative session. VWAP starts fresh at the open and firms up as the day fills in.
VWAP and its standard-deviation bands. VWAP is the day's average price weighted by how much volume traded at each price, so it shows where the bulk of the day's business was done. The bands sit one standard deviation either side, and price here swings between them all session.

Educational only, not advice. Spotted an error? Post in Site Feedback.