VWAP (Volume Weighted Average Price)

VWAP calculates the average price weighted by volume across the entire session. It is widely used by institutional traders as a benchmark for trade execution quality.

Declaration

function init(ctx) {
  ctx.indicator('vwap', 'VWAP', {});
}

Options

VWAP requires no configuration. It uses high, low, close, and volume data automatically.

Output

Returns a single number[] series (price level).

Accessing Values

function onBar(ctx, i) {
  const vwap = ctx.ind.vwap[i];
  const close = ctx.series.close[i];
  
  // Price above VWAP = bullish bias
  // Price below VWAP = bearish bias
}

Use Cases

VWAP Trend Filter

function onBar(ctx, i) {
  const close = ctx.series.close[i];
  const vwap = ctx.ind.vwap[i];
  
  // Only take long positions when price is above VWAP
  if (close > vwap && q.crossOver(ctx.ind.fast, ctx.ind.slow, i)) {
    ctx.order.market('ASSET', 1, { signal: 'buy', reason: 'above_vwap' });
  }
}

VWAP Bounce

function onBar(ctx, i) {
  const close = ctx.series.close[i];
  const low = ctx.series.low[i];
  const vwap = ctx.ind.vwap[i];
  
  // Price touched VWAP and bounced
  if (low <= vwap && close > vwap) {
    ctx.order.market('ASSET', 1, { signal: 'buy', reason: 'vwap_bounce' });
  }
}

Calculation

$$VWAP = \frac{\sum (TP \times Volume)}{\sum Volume}$$

Where $TP = \frac{High + Low + Close}{3}$ (Typical Price), cumulative from session start.

OBV - On-Balance Volume
MFI - Volume-weighted RSI
SMA - Simple price average (no volume weighting)