VWAP AND MVWAP

Optuma General Discussion
1

Hi Guys,

Please explain why VWAP and MVWAP require intra-day data and cannot be applied to EOD or longer time frame data.

It would be good to be able to apply it to longer time frames on any market.

Cheers

Trevor

2

Hi Trevor,

Those are typically used by institutional traders to determine the average price of the day. The Anchored VWAP tool calculates the average price paid from a specified date:

KB article: https://help.optuma.com/kb/faq.php?id=941

Scripting article: https://www.optuma.com/scripting-avwap/