is a benchmark used to measure the efficiency of executions in the context of a trading day. It represents the average price a security has traded at throughout the day, based on both volume and price. Traditional VWAP calculations start at the beginning of a trading day and provide a moving average that changes as the day progresses.

: Shannon refers to AVWAP as "the absolute truth" of supply and demand. If the price is above the AVWAP, the average buyer since that anchor is in profit (bullish); if below, they are underwater (bearish).

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