VWAP
The average price weighted by volume across a session — the benchmark level institutional execution is measured against.
Also called: volume weighted average price · VWAP indicator · anchored VWAP
What it means
VWAP divides cumulative price-times-volume by cumulative volume from the session open. Because large orders are often benchmarked against it, it functions as a reference level: price above VWAP means the average participant in the session is in profit on a long.
VWAP resets. It is a session statistic, and when the reset happens determines every value it prints. For Indian markets the boundary is IST, not UTC — a tool resetting at UTC midnight produces a VWAP that is wrong for the whole first part of the NSE session, which is a surprisingly common bug.
Indices are a special case: an index has no traded volume of its own. Any index VWAP is built on a proxy or on constituent volume, and that choice changes the number.
How OptionLab Pro’s engine uses it
In the live engine
Our VWAP resets at the IST (UTC+5:30) day boundary on both the Go backend and the frontend, and the two implementations are checked against each other rather than independently maintained. Where a feed reports zero volume — which happens on index data from several sources — the engine substitutes a base volume rather than letting a zero poison the volume-derived states.
go/internal/engine/indicators.go · frontend/src/lib/normalizeCandles.ts (computeVwapArray)The common mistake
Where traders get this wrong
Using a VWAP that resets on UTC midnight for NSE sessions. The error is invisible — the line plots perfectly happily — and it corrupts every level derived from it. Also: carrying VWAP across multiple days as a single running average, which is not what the statistic means.
Go deeper
There is a full lesson on this in the Academy, with an interactive widget and a Hindi translation.
Related terms
Educational and analytical content only. OptionLab Pro is not a SEBI-registered investment adviser or research analyst and does not give buy or sell recommendations. Derivatives trading carries a high risk of loss.