VWAP, profiles and spread

The VWAP: the volume-weighted average price

The VWAP (volume weighted average price) is the average price weighted by volume, the institutional reference for judging whether price is "expensive" or "cheap" on the session.

• Price above the VWAP: buyers are in control; below: sellers.
• The VWAP and its bands (standard deviations) act as magnets and rejection zones. Many execution algos "revert to VWAP", which is why it sticks.
• Periods on DeepDom: day, minute, second, order. For this course, the daily VWAP is enough.

Reading it with the heatmap: a persistent wall on the VWAP is a first-class level. A bounce off the VWAP without a wall is information; with a wall, it is a setup.