Signals

VWAP — Volume-Weighted Average Price

Benchmark price relative to cumulative volume-weighted trading activity.

What it is

VWAP is the cumulative average transaction price weighted by traded volume. It is commonly used as a fair-value benchmark for execution quality and intraday participation.

When to use it

Checking whether a symbol is trading above or below its volume-weighted benchmark.
Comparing execution levels to a market-standard reference line.
Using pullbacks toward VWAP as a continuation entry filter.

The maths

VWAP = cumulative(typical_price × volume) / cumulative(volume) where typical_price = (high + low + close) / 3 VWAP resets each trading session.

What it tells you

Price above VWAP is generally bullish intraday, while price below VWAP is bearish. Institutional traders use VWAP as a benchmark, and deviations from it can highlight mean-reversion opportunities.

REST example

python

import os
import requests

response = requests.get(
  'https://api.financedata.com/v1/signals/VWAP/AAPL',
  params={'start_date': '2025-01-01', 'end_date': '2025-04-30'},
  headers={'X-API-Key': os.environ['FDA_KEY']},
  timeout=30,
)
response.raise_for_status()
print(response.json())

MCP example

Tool call body

{
"name": "run_signals",
"arguments": {
  "symbols": ["AAPL"],
  "signal_names": ["VWAP"],
  "start_date": "2025-01-01",
  "end_date": "2025-04-30"
}
}

VWAP needs no extra parameters, so it is one of the cleanest signals to request through the generic run_signals MCP tool.

Agent prompt that triggers it

Run VWAP for AAPL and tell me whether the latest close is trading above or below the volume-weighted benchmark.