Glossary
VWAP
Volume-Weighted Average Price — the average trade price over a period, weighted by trade size. The standard benchmark for execution quality.
VWAP weighs each trade by its size, producing an average price that reflects where most of the volume actually happened — not just where prices traded. It is the standard buy-side benchmark for execution quality: a trader who executed below VWAP on a buy order beat the market that day.
VWAP execution strategies slice an order into many smaller trades sized to track real-time volume, with the goal of matching (or beating) the day's VWAP. The pattern is common in TradFi and is being imported into crypto via intent-based DEXes and pro trader tools.