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What Is the Significance of the Volume-Weighted Average Price (VWAP) in Measuring Execution Quality?

VWAP is the volume-weighted average price, used as a benchmark to determine if a trade's execution price was favorable.
Greeks.Live10.11.25

What Is the Significance of the Volume-Weighted Average Price (VWAP) in Measuring Execution Quality?

VWAP is the average price of an asset traded over a specific time, weighted by the volume traded at each price level. It is a key benchmark for measuring the quality of a trade's execution.

If a trader's execution price is better than the VWAP, they achieved a good price relative to the market's average, indicating a narrow effective spread. If it is worse, the effective spread was likely wide.

How Does a Smart Contract Determine the ‘Correct’ Price from Multiple Oracle Sources?
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How Is ‘Volume-Weighted Average Price’ (VWAP) Used as a Benchmark for Trade Execution?
How Does a TWAP Oracle Differ from a Volume-Weighted Average Price (VWAP) Oracle?

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