VWAP, or Volume Weighted Average Price, is the average price at which a security has traded throughout the day, weighted by the volume of trades at each price level. It is calculated by dividing the total value of all trades (price multiplied by volume) by the total volume for the day. Traders and institutional investors use VWAP as a benchmark—buying below VWAP is considered favourable, while selling above it is seen as getting a good price. Algo-based order execution systems on platforms like Ventura often use VWAP strategies to minimise market impact when executing large orders.
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