FAIR VALUE INDICATOR
VWAP
Benchmarks price against a volume-weighted average over a defined session.
Start with the input, not the story.
Average traded price weighted by the available volume series.
Plain-language formula
Cumulative price x volume divided by cumulative volume from a chosen anchor.
Platform implementations can differ in price input, smoothing, indexing and rounding. Record the exact settings and provider before comparing results.
03 / USEFUL REGIME
Where it may help
Exchange-traded FX futures or carefully labelled broker tick-volume studies.
04 / WEAK REGIME
Where it struggles
Decentralised spot FX, where no single retail feed represents all traded volume.
Add a different measurement.
Deviation bandsSession structure
A complementary tool should answer a different question, such as volatility, regime or position risk. Test the base rule before testing the combination.
The shortcut to avoid
Presenting spot-FX VWAP as a universal institutional benchmark.
A testable next step
State feed and anchor explicitly; compare against a simple time-weighted average.