Trading & Markets

VWAP

Also known as: Volume Weighted Average Price

The average price over a period weighted by volume traded at each price.

Used as an execution benchmark: an algorithm that beats VWAP executed better than the day's typical participant.

The critique. VWAP measures execution against the market's own activity, not against the decision price. An order that took all day to fill can beat VWAP while the price moved away throughout - a good execution score on a bad outcome.

Implementation shortfall measures against the price when the decision was made, which is what actually matters to the portfolio.

Related terms

Practise this

Put it into practice

Knowing the definition is not the same as spotting where it applies under time pressure. Work the question bank free.

Start practising free

Browse the full quant interview glossary