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What Is a Volume-Weighted Average Price (VWAP) and How Does It Differ from TWAP?

VWAP averages price weighted by trade volume; TWAP averages price weighted by time, making TWAP better for oracle manipulation defense.
Greeks.Live20.11.25

What Is a Volume-Weighted Average Price (VWAP) and How Does It Differ from TWAP?

Volume-Weighted Average Price (VWAP) calculates the average price of an asset over a period, giving more significance to prices at which higher trading volumes occurred. It is calculated by summing the dollar value of trades (price multiplied by volume) and dividing by the total volume traded.

TWAP, in contrast, weighs all prices equally based on time, ignoring volume. VWAP is often used by traders to assess trade execution quality, while TWAP is preferred for oracle security.

How Can ‘Volume-Weighted Average Price’ (VWAP) Be Skewed by Wash Trading?
How Does a TWAP Oracle Differ from a Volume-Weighted Average Price (VWAP) Oracle?
What Is the Significance of the Volume-Weighted Average Price (VWAP) in Measuring Execution Quality?
What Is a “Time-Weighted Average Price” (TWAP) Oracle and Its Anti-Front-Running Benefit?

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