Glossary

Volume-Weighted Average Price (VWAP)

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An asset’s volume-weighted average price (VWAP) is calculated by taking the average of every trade in a specified time period. Each trade is weighted proportionally to the quantity of the order. In regard to a specific order that is filled at multiple prices, the VWAP can be calculated on aggregate by looking at net quantity and net price.

Related Terms
Time-Weighted Average Price (TWAP)
Time-Weighted Average Price (TWAP) is the measure of an asset’s average price over a period of time. TWAP is used as a method for purchasing a large amount of an asset while avoiding slippage.
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Volume
Volume is a measure of how much an asset is being traded on financial markets. Larger volumes tend to indicate greater liquidity in a market.
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Liquidity
Liquidity is a measure of how easily an asset can be traded on financial markets. The depth of an order book is often cited as a measure of liquidity.
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