How to Calculate VWAP

Step 1

Capture price data into your spreadsheet.

Collect the stream of price transactions for a security during a single trading day and enter them into your spreadsheet program on your computer. You must have every buy and sell price during the trading day for the security in question. There could be hundreds or even thousands of transactions for very heavily traded securities.

Collect number of shares for each trade.

Step 2

Collect the quantity or number of shares in each trade up to the end of the trading day. Having every trading price matched to the number of shares traded will give you the data you need to do the VWAP calculation.

Add the results (trade prices times number of shares).

Step 3

Multiply the price of each trade by the number of shares and add the results. If 10 shares of a security sell for $100 each in one trade and 15 shares sell for $100 in another trade, you would first multiply 10 x 100 = 1,000 for the first trade and then 15 x 100 = 1,500 in the second trade. When you complete the list of trades, add the products of all the trades: 1,000 + 1,500 = 2,500. Now you can complete the final step in the VWAP calculation.

Calculate the number of shares traded.

Step 4

Add the number of shares that traded. In Step 3, that would be 10 + 15 = 25 shares. Divide the sum of the products calculated in Step 3 by the sum of the total shares that traded. So the VWAP would be: 2,500/25 = 100.