VWAP
Volume-Weighted Average Price — average price over a window weighted by traded volume. The standard 'fair market price' metric and benchmark for large orders.
Aliases: volume-weighted average price
VWAP (Volume-Weighted Average Price) is the asset’s average price over a window where each trade is weighted by its size. If 100 TON cleared at 5.00 USDT and 1 TON at 5.50 in the same hour, VWAP ≈ 5.005 — the larger fill dominates.
Formula
VWAP = Σ(price_i × volume_i) / Σ(volume_i)Sum across all trades in the window. Typically computed daily, but the window is configurable.
Where it shows up
- Institutional execution. The benchmark for algorithms: fill the order no worse than the day’s VWAP.
- Technical analysis. A VWAP line on the chart marks the volume-weighted average price, used as support / resistance.
- CEX oracles. Many derivative feeds compute prices as VWAP over the last X minutes across top venues.
- Execution audits. Wallets or DEX aggregators can report “you filled better/worse than period VWAP”.
VWAP vs TWAP
| Aspect | VWAP | TWAP |
|---|---|---|
| Weighting | Volume | Time |
| Sensitivity to large trades | High | Low |
| Suitability for lending oracles | Lower (needs trusted volume) | Higher |
| Suitability for trader benchmark | Higher (matches real flow) | Lower |
| On-chain compute simplicity | Harder | Easier |
Limitations
- Manipulable via wash trading. Bots can churn volume at a chosen price to shift VWAP. CEXes filter this through KYC; DEX wash trades are harder to catch.
- Breaks on thin assets. Five fills a day make VWAP virtually identical to last price.
- Too smooth for retail intraday. Loses the high-frequency signal.
On TON
In TON analytics (DeFiLlama, GeckoTerminal, DEX Screener) VWAP appears less often than a plain “last price” or 24h average. Serious traders pull it via STON.fi and DeDust APIs from swap logs.
VWAP is a classic finance benchmark; in the on-chain world it sits more on the execution side than as oracle data.