VWAP (Volume Weighted Average Price) is the ratio of an asset’s price to its total trade volume. VWAP is used to calculate the average price of a stock over a period of time.
Calculation:
VWAP = (Typical Price * Volume) / Cumulative Volume
Notes:
It is industry standard to include all volume, including pre/post market volume, in the regular accumulated volume for the day.
VWAP calculations do not include irregular trades, including odd lots and other cross-trades.