What is VWAP, actually?

VWAP stands for volume-weighted average price. It answers a specific question: at what average price did most of the actual trading happen?

A simple mean across venues treats a $10M trade on Binance and a $10k trade on a tiny exchange as equally informative. They aren't. VWAP weights each venue's price by how much actually traded there, so the number reflects where capital moved — not just where quotes happened to sit.

Why you care

• When a venue's price wanders far from VWAP, it's usually a thin-book illusion — the number won't survive a real market order.
• Desk traders benchmark executions against VWAP. "Beating VWAP" means you traded better than the day's weighted average.
• VWAP is far harder to manipulate than a simple mean. Spoofing one venue barely moves a properly volume-weighted number.

Why we publish it free

Every other aggregator either hides the methodology, charges for VWAP, or computes it without exposing per-venue data. We think retail deserves the same reference price desks use — so we publish it for every asset on our feed, every second, with the exact aggregation math shown in full on our methodology page.