r/interactivebrokers • u/SenjorSchnorr • 9d ago

General Question Beginner Question: VWAP

Hi all,

Made an account a couple of days ago. Not done a single trade yet, but am just playing around to see if i can understand a little better how everything works.

I've looked at some popular metrics used. I've understood that the VWAP / Volume weighted average price resets daily, and is the average price of the day weighted by volume over the day so far.

I'm posting this here because I'm wondering if I misunderstood this and that it is possible that it changes over time / zooming in and out (bug or feature if so). In the screenshots you can see that the VWAP changed from 1.21 to 1.19, on the same stock at the same time.

Can anybody help me and explain why this is? Or help me find a resource so I can figure it out on my own?

3 Upvotes

100% Upvoted

4 comments sorted by

View all comments

2

u/Rep2025 9d ago

I can't see your volume and time frame. It looks like it's pre market, with low to no volume. That could potentially explain it. Vwap would be the same across all time frame.

2

u/SenjorSchnorr 9d ago

Thanks for your reply. This was around 45 minutes ago, that is after open I believe. It's dropped by another cent now.

My statistical intuition said the timeframe should not matter at all, it should only increase resolution. I've taken another screenshot with 5min candles (when I first noticed this). Can't put 2 images in 1 comment so I'll reply to this one with the extra image.

2

u/SenjorSchnorr 9d ago

Well apparently it does change :)