# VWAP (Volume Weighted Average Price)

The VWAP indicator should be added to TradeInterceptor.

VWAP is probably the most commonly used indicator by algorithm and is extremely useful for intraday trading.

Usually most volume activity occurs when price hits hits the VWAP, in particular for S&P500and otehr indices futures.

According to the following article:

http://stockcharts.com/school/doku.php?id=chart*school:technical*indicators:vwap_intraday

"There are five steps involved in the VWAP calculation.

First, compute the typical price for the intraday period. This is the average of the high, low and close {(H+L+C)/3)}.

Second, multiply the typical price by the period's volume.

Third, create a running total of these values. This is also known as a cumulative total.

Fourth, create a running total of volume (cumulative volume).

Fifth, divide the running total of price-volume by the running total of volume.

Cumulative(Volume x Typical Price)/Cumulative(Volume)

"

The VWAP indicator must not be calculated according to some period like many other averages. For the VWAP the input is the starting time of caculation.

Starting time should be like:

- number of days (0 = today; 1 = yesterday etc)

- hour start

- minutes start

Like this everyone can make the VWAP calculation start at is preferred time of the day depending on what session is traded.

In my experience once a buy or sell decision it is always better to wait until price hits VWAP.

**19**votes