The rules
- Session VWAP: the volume-weighted average price since the session opened, Σ(typical price × volume) ÷ Σ volume, with typical price = (high + low + close) ÷ 3. Sessions start at 00:00 UTC for crypto and crypto perps, and at the 9:30 New York open for US stocks (regular hours only).
- Candles: 15-minute candles for crypto (Binance) and US stocks (Alpaca), 1-hour candles for crypto perps (OKX). The same VWAP as on FreeCharting’s intraday charts.
- VWAP σ: the price against the VWAP in volume-weighted standard deviations, the VWAP bands. 2σ or more counts as stretched; within 0.25σ counts as at VWAP.
- VWAP cross: a close crossing the session VWAP in the last 3 candles. Weekly VWAP is anchored at the first session of the week (Monday); prior VWAP is where the previous session’s VWAP ended.
- CME futures: Massive’s free plan has daily bars only, so futures show a rolling 20-day and 50-day VWAP of daily bars instead, with crosses over the last 3 days.
About this setup
- What it is
- VWAP is the average price paid in a session, weighted by volume. It shows whether buyers who traded today are, on average, in profit (price above VWAP) or under water (below).
- How traders use it
- Intraday traders treat price above VWAP as buyers in control and below as sellers in control, buy pullbacks to VWAP in strong sessions, and fade or take profit on 2σ stretches. Institutions use it as a benchmark for their fills.
- Caveats
- VWAP resets every session, so early in a session it rests on few candles and moves a lot. A rolling VWAP of daily bars is a different measure from the intraday session VWAP. Alpaca’s free stock data is 15 minutes delayed.
Calculated in your browser from intraday candles (daily for CME futures). Not investment advice.
Frequently asked questions
Which markets can it scan?
Four, picked with the Market buttons above the table. Crypto (the default) scans the 250 busiest USDT pairs on Binance. Crypto perps scans the 200 busiest USDT perpetual futures on OKX. Both are free public data and need no key. US stocks scans about 600 US stocks and ETFs with your own free Alpaca key, and CME futures scans about 25 front-month CME Group contracts (stock indexes, Treasuries, oil, gas, metals, grains, livestock, currencies and CME bitcoin) with your own free Massive key.
Why do stocks and futures need a key?
Stock and futures prices are licensed data, so a website can’t hand them out for free. Alpaca (for stocks) and Massive (for futures) give anyone a free data key. Your key is saved only in your browser and sent only to that provider. See how to get a free Alpaca key and how to get a free Massive key for futures.
Is the data real-time?
Crypto and crypto perps are live from Binance and OKX, on 15-minute and 1-hour candles; the latest candle is still forming. Alpaca’s free stock data is 15 minutes behind the market, and Massive’s free futures plan is 8 hours delayed. Turn on auto-refresh next to the results to update the table in place every 30 seconds, minute or 5 minutes.