Volume Weighted Average Price (VWAP) Singapore
The trading benchmark SGX investors use to judge whether they got a fair execution price
Volume weighted average price (VWAP) is the average price at which a stock traded over a given period, weighted by the volume of shares traded at each price, used as a benchmark to judge whether a trade was executed at a fair price relative to the day’s overall trading activity.
Not financial advice. All figures for educational reference only. Data as at September 2026.
Last updated: September 2026
Key Takeaways
- VWAP weights each price by how many shares traded at that price, so it reflects where most trading actually happened, unlike a simple average of the day’s high and low.
- Institutional investors and fund managers commonly use VWAP as an execution benchmark: buying below VWAP or selling above VWAP is generally considered a good trade.
- SGX-listed stocks display VWAP as part of standard trading data feeds, and it resets each trading session (intraday VWAP is the most common form used).
- Corporate actions like rights issues and scrip dividends in Singapore often reference VWAP over a specified period to set a fair reference or issue price.
- Retail investors can use VWAP informally to judge whether their own limit or market order was filled at a reasonable price compared to the broader day’s trading.
Table of Contents
What Is VWAP?
How Does VWAP Work on SGX?
VWAP Calculation Example
Advantages of Using VWAP
Risks and Limitations
VWAP vs Simple Average Price vs TWAP
The Bottom Line
What Is VWAP?
Volume weighted average price is a trading benchmark that calculates the average price of a stock over a set period, but instead of treating every price point equally, it weights each price by the number of shares traded at that price. This means VWAP reflects where the bulk of actual trading volume occurred, giving a more representative picture of the “true” average price than a simple average of the high and low, or the open and close.
VWAP is most commonly calculated on an intraday basis (from market open to the current time, resetting each trading day), though it can also be calculated over longer periods like a week or month for specific purposes, such as setting a reference price for a corporate action.
On the Singapore Exchange (SGX), VWAP is a standard data point provided through trading platforms and is widely used by institutional traders, fund managers, and increasingly retail investors as a way to benchmark execution quality — essentially answering the question, “did I trade better or worse than the average market participant today?”
Beyond its use as an execution benchmark, VWAP also plays a supporting role in some algorithmic trading strategies used by institutional desks trading SGX stocks. A “VWAP strategy” breaks a large order into smaller pieces executed throughout the day in proportion to typical historical volume patterns, aiming to minimise market impact and achieve an average execution price close to the day’s VWAP rather than moving the price sharply with one large trade. Retail investors generally don’t need such sophisticated execution tools for typical trade sizes, but understanding that institutional flow is often benchmarked against VWAP helps explain some of the intraday volume and price patterns visible on SGX counters, particularly around index rebalancing dates when large passive funds need to adjust their holdings.
How Does VWAP Work on SGX?
VWAP is calculated by multiplying the price of each trade by its volume, summing these values across all trades in the period, and then dividing by the total volume traded. The formula is: VWAP = (Sum of Price × Volume for each trade) ÷ (Total Volume traded). This calculation updates continuously throughout the trading session as new trades occur, which is why intraday VWAP is often described as a “moving” benchmark that only firms up at market close.
On SGX, VWAP appears in real-time trading terminals and end-of-day data summaries, and it’s frequently used by institutional desks running large orders through algorithmic “VWAP strategies” — where a big buy or sell order is broken into smaller pieces and executed gradually throughout the day, aiming to achieve an average execution price close to the day’s VWAP rather than moving the market with one large trade.
Beyond regular trading, VWAP also has a formal role in Singapore corporate actions. Rights issues, scrip dividend schemes, and some share buyback pricing formulas explicitly reference the VWAP over a specified look-back period (for example, the 5-day or 10-day VWAP before an announcement) to set a fair reference price, since it smooths out single-day price spikes or dips.
VWAP Calculation Example
Suppose a stock trades as follows in a single session: 10,000 shares at S$1.00, 20,000 shares at S$1.02, and 15,000 shares at S$0.98. The VWAP is calculated as: (10,000 × 1.00 + 20,000 × 1.02 + 15,000 × 0.98) ÷ (10,000 + 20,000 + 15,000) = (10,000 + 20,400 + 14,700) ÷ 45,000 = 45,100 ÷ 45,000 ≈ S$1.0022.
Notice this VWAP of S$1.0022 is closer to S$1.02 than a simple average of the three prices (which would be S$1.00), because the 20,000-share trade at S$1.02 carried the most weight in the calculation, reflecting where most of the day’s volume actually traded.
Some platforms also offer a session VWAP band display, showing the price relative to VWAP as a percentage, which can be a quick visual cue for gauging whether current trading is happening above or below the day’s volume-weighted average without needing to manually calculate the figure yourself.
Advantages of Using VWAP
- More representative than a simple average. Because it weights by volume, VWAP reflects the price levels where real trading activity concentrated, not just the extremes of the day.
- A practical execution benchmark. Fund managers and traders use VWAP to evaluate whether a large order was executed efficiently, since beating VWAP (buying below it or selling above it) indicates good execution.
- Used in fair corporate action pricing. Referencing VWAP over a period smooths out single-day volatility, making rights issue and scrip dividend pricing less vulnerable to one unusual trading day.
- Available in real time. Most SGX trading platforms display live VWAP, letting investors compare their own trade price to the market’s volume-weighted average as the day progresses.
Risks and Limitations
- Backward-looking, not predictive. VWAP tells you what already happened during the period; it says nothing about where the price will go next.
- Less meaningful for thinly traded counters. On low-volume SGX stocks, a handful of trades can skew VWAP significantly, making it a less reliable benchmark than for liquid, heavily traded names.
- Resets daily for intraday VWAP. Comparing VWAP across different days requires care, since each day’s VWAP is a fresh calculation and not cumulative unless specifically calculated over a longer window.
- Not the same as the closing price. A stock can close well above or below its VWAP for the day, so relying on VWAP alone to judge “fair value” ignores late-session price movement that may matter for other purposes.
VWAP vs Simple Average Price vs TWAP
| Metric | VWAP | Simple Average Price | TWAP |
|---|---|---|---|
| Weighting | By trading volume | None (equal weight) | By time interval |
| Reflects real trading activity | Yes, strongly | Weakly | Partially |
| Common use | Execution benchmark, corporate actions | Rarely used formally | Algorithmic order execution over time |
| Sensitivity to low-volume periods | Low — high-volume trades dominate | High | Moderate |
For long-term buy-and-hold investors, VWAP is generally less relevant than it is for active traders or large institutional orders, since the small execution price differences VWAP helps optimise matter far less to overall returns than the underlying quality and valuation of the stock being purchased over a multi-year holding period.
The Bottom Line
For Singapore investors, VWAP is a practical, volume-weighted benchmark for judging whether a trade got a fair price relative to the day’s actual activity, and it plays a formal role in how SGX-listed companies price rights issues and scrip dividends — worth checking whenever you’re placing a large order or evaluating a corporate action’s reference price.
Frequently Asked Questions
Is VWAP the same as the average of the day's high and low price?
No. VWAP weights each traded price by its volume, so it reflects where most trading actually happened, while a simple high-low average ignores volume entirely and can be skewed by brief price spikes.
Can retail investors see VWAP on their SGX trading platform?
Most major Singapore brokerage platforms display VWAP as a standard data point for SGX-listed stocks, either on the trade ticket or in the stock’s detailed quote view.
Why do rights issues in Singapore often reference VWAP?
VWAP over a defined look-back period smooths out single-day price volatility, giving a fairer, more stable reference price for setting the rights issue or scrip dividend price than using one day’s closing price alone.
Does VWAP reset every trading day?
Intraday VWAP, the most commonly quoted form, resets at the start of each trading session and accumulates through to market close. Longer-period VWAP (weekly, monthly) is a separate calculation used mainly for corporate action pricing.
Is a lower VWAP always better for buyers?
Generally yes for a single trading session — buying below the day’s VWAP suggests you got a relatively favourable price compared to the average market participant that day, though it doesn’t guarantee the stock is undervalued long-term.
How is VWAP different from TWAP?
VWAP weights by trading volume at each price, while TWAP (time weighted average price) simply averages prices across equal time intervals regardless of how much volume traded in each — TWAP is more common in algorithmic execution strategies aiming to avoid signalling large orders.