Session VWAP

Volume-weighted average price accumulated since the start of the current calendar-day session, re-anchored automatically at each day boundary. Each bar contributes its typical price (high + low + close) / 3 weighted by volume.

Quick reference

Item	Value
Family	Seasonality & Session
Input type	Candle (uses high, low, close, volume, timestamp)
Output type	f64
Output range	unbounded (price units)
Default parameters	utc_offset_minutes = 0 (UTC)
Warmup period	1
Interpretation	Intraday fair-value anchor; price above/below = relative strength

Formula

typical_t = (high_t + low_t + close_t) / 3
within the current local day:
  vwap_t = Σ(typical · volume) / Σ volume
  (falls back to typical_t while Σ volume == 0)

The local day is the wall-clock day of Candle::timestamp shifted by utc_offset_minutes. See crates/wickra-core/src/indicators/session_vwap.rs.

Parameters

Name	Type	Default	Constraint	Source	Description
utc_offset_minutes	i32	0	none	session_vwap.rs:38	Shifts the instant before deriving the day boundary (-300 = US Eastern standard time).

SessionVwap::new is infallible.

Inputs / Outputs

const _: fn(&mut wickra::SessionVwap, wickra::Candle) -> Option<f64> =
    <wickra::SessionVwap as wickra::Indicator>::update;

• Python. SessionVwap(utc_offset_minutes).update((o,h,l,c,v,ts)); batch(open, high, low, close, volume, timestamp) → 1-D ndarray.
• Node. update(open, high, low, close, volume, timestamp); batch(...) → number[].
• WASM. update(open, high, low, close, volume, timestamp) (timestamp is a BigInt).

Warmup

warmup_period() == 1 — a value is produced from the first bar.

Edge cases

• Day rollover re-anchors. Crossing a local day boundary restarts the accumulation (test re_anchors_on_new_day).
• Zero-volume session. Falls back to the latest typical price so the output is always finite (test zero_volume_session_falls_back_to_typical).
• Typical price. Uses (high + low + close) / 3, verified by typical_price_uses_high_low_close.
• Reset. Clears the day anchor and accumulators (test reset_clears_state).

Examples

Rust

use wickra::{Candle, Indicator, SessionVwap};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let hour = 3_600_000;
    let mut vwap = SessionVwap::new(0);
    vwap.update(Candle::new(100.0, 100.0, 100.0, 100.0, 10.0, 0)?);
    let v = vwap.update(Candle::new(110.0, 110.0, 110.0, 110.0, 30.0, hour)?).unwrap();
    println!("{v}"); // 107.5 = (100*10 + 110*30) / 40
    Ok(())
}

Python

import wickra as ta

HOUR = 3_600_000
vwap = ta.SessionVwap(0)
vwap.update((100.0, 100.0, 100.0, 100.0, 10.0, 0))
print(vwap.update((110.0, 110.0, 110.0, 110.0, 30.0, HOUR)))  # 107.5

Node

const wickra = require('wickra');
const HOUR = 3_600_000;
const vwap = new wickra.SessionVwap(0);
vwap.update(100, 100, 100, 100, 10, 0);
console.log(vwap.update(110, 110, 110, 110, 30, HOUR)); // 107.5

Streaming

vwap = ta.SessionVwap(-300)  # anchor to US Eastern standard time
for o, h, l, c, v, ts in candle_feed:
    fair = vwap.update((o, h, l, c, v, ts))
    # price above `fair` = trading rich vs the session's volume-weighted mean

Interpretation

1. Fair-value anchor. Intraday mean-reversion strategies fade excursions from the session VWAP; trend strategies require price to hold above (long) or below (short) it.
2. Execution benchmark. VWAP is the canonical execution benchmark — fills better than session VWAP beat the volume-weighted crowd.
3. Offset matters. For exchange-local session anchoring, set utc_offset_minutes to the venue's standard-time offset.

Common pitfalls

• Wrong day boundary. Leaving utc_offset_minutes = 0 anchors at UTC midnight, which rarely matches an equity/futures session open.
• Sparse early session. Very early in a session, Σ volume is small and the VWAP is noisy; treat the first few bars with caution.

See also

• RollingVwap — fixed-window VWAP, no session anchor.
• AnchoredVwap — anchors at a caller-chosen bar.
• SessionHighLow — companion session range.
• Indicators-Overview — full taxonomy.