Volume Weighted Average Price (VWAP)
Available from Interactive Brokers, LLC
To assist customers in reducing execution risk, Interactive Brokers supports guaranteed Volume Weighted Average Price (VWAP) orders for large cap stocks. The VWAP for a stock is calculated by adding the dollars traded for every transaction in that stock ("price" x "number of shares traded") and dividing by the total shares traded. A VWAP order is computed from a beginning cut-off time to an ending cut-off time, and is calculated by volume weighting all transactions during this time period. VWAP prices are computed by Bloomberg, displayed after market close, and are guaranteed to be executed.