Charting and Studies User Guide - CQG.com

Page 348
Volume-Weighted Average Price (VWAP)
VWAP is the volume weighted average price for a futures contract plotted as a line on the price
chart. The calculation is the sum of traded volume times the price divided by the sum of the
traded volume.
This study has a number of uses. It provides the current volume weighted average price for the
trading day or the trading session. Traders can compare the current price to the VWAP. In
addition, the VWAP can be calculated using a set look back period and smooth the price data
similar to a standard moving average.
VWAP = (Sum of traded volume*price)/(Sum of the traded volume)
VWAP Parameters
• Display
• Period: Enter a value for the look back period of the average. Period is measured in
bars and designates the fixed number of bars to weight. It is needed when Start from
= None.
• Start from: Select StartofDay, StartofSession, or None to indicate the point to start
the calculation. None indicates that Period will be used instead of Start from.
• Price: Select the price to be considered in the calculation.
• Contract or Commodity: Select Auto, Contract, or Commodity. Auto corresponds to
the existing volume type.
Basic Studies