XOM VWAP: Combine Minute Values by Volume
Summary
Hollow Point Trading shares a short tutorial on combining ExxonMobil IEX minute VWAP values using volume weights instead of a simple average. The example uses four minute bars totaling 2,005 shares to show why each VWAP must be weighted by its corresponding volume.
https://youtu.be/npL-NFx4_18
XOM: combine VWAP with volume weights #Shorts
You cannot combine minute VWAP values by blindly averaging them. This historical ExxonMobil IEX window contains four observed minute bars. Their volumes are seven forty four, three fifty six, six forty nine, and two fifty six shares. The total is two thousand five shares. Multiply each reported minute VWAP by its own volume, add those products, ...
