VWAP & AVWAP

The Average Price Everyone Already Paid

Volume told you how much changed hands. The next question is the price at which it changed hands, on average, with each transaction counted by its size. That number is VWAP, the volume-weighted mean of every fill in the session. It is the price the crowd, in aggregate, has already paid. Most platforms draw it as one more line in the indicator drawer. It is something else, a benchmark every later fill is silently measured against.