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VWAP manual calculation - Printable Version

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VWAP manual calculation - Harpreet - 28-09-2024

To manually calculate the VWAP (Volume Weighted Average Price), follow these steps:
  1. Find the typical price for each period:
    Typical Price=High+Low+Close3\text{Typical Price} = \frac{\text{High} + \text{Low} + \text{Close}}{3}
    Typical Price=3High+Low+Close
  2. Multiply the typical price by the volume for that period:
    Price-Volume Product=Typical Price×Volume\text{Price-Volume Product} = \text{Typical Price} \times \text{Volume}
    Price-Volume Product=Typical Price×Volume
  3. Calculate the cumulative price-volume product and the cumulative volume for each period.
  4. Divide the cumulative price-volume product by the cumulative volume to get the VWAP at any given time:
    VWAP=∑(Typical Price×Volume)∑Volume\text{VWAP} = \frac{\sum (\text{Typical Price} \times \text{Volume})}{\sum \text{Volume}}
    VWAP=∑Volume∑(Typical Price×Volume)
Example:
Let's say you have the following data for three periods:
Period
High
Low
Close
Volume1
50
48
49
1000
2
51
49
50
1500
3
52
50
51
1200
Step 1: Calculate the typical price for each period:
Typical Price (Period 1)=50+48+493=49\text{Typical Price (Period 1)} = \frac{50 + 48 + 49}{3} = 49
Typical Price (Period 1)=350+48+49=49
Typical Price (Period 2)=51+49+503=50\text{Typical Price (Period 2)} = \frac{51 + 49 + 50}{3} = 50
Typical Price (Period 2)=351+49+50=50
Typical Price (Period 3)=52+50+513=51\text{Typical Price (Period 3)} = \frac{52 + 50 + 51}{3} = 51
Typical Price (Period 3)=352+50+51=51
Step 2: Multiply the typical price by the volume for each period:
Price-Volume Product (Period 1)=49×1000=49,000\text{Price-Volume Product (Period 1)} = 49 \times 1000 = 49,000
Price-Volume Product (Period 1)=49×1000=49,000
Price-Volume Product (Period 2)=50×1500=75,000\text{Price-Volume Product (Period 2)} = 50 \times 1500 = 75,000
Price-Volume Product (Period 2)=50×1500=75,000
Price-Volume Product (Period 3)=51×1200=61,200\text{Price-Volume Product (Period 3)} = 51 \times 1200 = 61,200
Price-Volume Product (Period 3)=51×1200=61,200
Step 3: Calculate the cumulative price-volume product and cumulative volume:
Cumulative Price-Volume Product (Period 3)=49,000+75,000+61,200=185,200\text{Cumulative Price-Volume Product (Period 3)} = 49,000 + 75,000 + 61,200 = 185,200
Cumulative Price-Volume Product (Period 3)=49,000+75,000+61,200=185,200
Cumulative Volume (Period 3)=1000+1500+1200=3,700\text{Cumulative Volume (Period 3)} = 1000 + 1500 + 1200 = 3,700
Cumulative Volume (Period 3)=1000+1500+1200=3,700
Step 4: Calculate the VWAP:
VWAP=185,2003,700=50.05\text{VWAP} = \frac{185,200}{3,700} = 50.05
VWAP=3,700185,200=50.05
So, the VWAP after the third period is 50.05.