Calculating Intraday VWAP Requires Cumulative Turnover and Volume
Summary
This brief forum exchange explains a basic data requirement for calculating an intraday volume-weighted average price. One participant proposes dividing cumulative traded turnover by cumulative volume, which yields the day’s running VWAP when both figures cover the same trades and time interval.
The questioner then notes that their available market data contains only open, high, low, close, and volume values. The response points out that these fields do not provide enough information to recover VWAP exactly: bar prices and volume do not reveal the actual value of all trades. A reliable calculation therefore requires turnover and volume data at the desired aggregation level, or underlying trade data from which both can be accumulated. The exchange is concise and offers no discussion of vendor-specific APIs, bar-based approximations, or how to handle session boundaries and data quality.
Key ideas
- Running VWAP can be calculated from cumulative turnover divided by cumulative volume.
- Turnover and volume must cover the same trades and time period.
- OHLCV bars alone do not contain enough information to recover exact VWAP.
- Trade-level data or suitable cumulative turnover fields are needed for a precise calculation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.