Volume weighted average price

The sum of price times volume divided by the sum of volume over the bars of the period so far; the price is the source, by default hlc3 (high plus low plus close, divided by 3). Both sums start afresh at the first bar of each new period. Days start at 17:00 New York (daylight saving included) or, as Day starts chooses, at 00:00 UTC; weeks start with Monday's day, months with the 1st. While the period has traded no volume there is no value, not the last period's.

Price above VWAP means the period's buyers are on average in profit, below it at a loss; many traders treat it as fair value and watch pullbacks to it. Early in a period it rests on few bars and moves a lot. By default the day starts at 17:00 New York, where forex turns the day, so Sunday evening counts to Monday; 00:00 UTC is the other choice. On forex the weights are tick volume, the number of price changes, not traded size.

As an intraday bias: only take longs while the close is above ctx.ind("vwap", anchor="day") and shorts while it is below, or enter on a pullback to it in the direction of the day's move.

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