Distance from VWAP

Signed distance from the frozen reference VWAP relative to VWAP.

Observed: read at the minute itself
Unit: price_ratio
Valid range: -1 to 5

In plain English

Places the latest trade price above or below this market's UTC-day-anchored volume-weighted average price. VWAP weights each trade price by its base quantity.

How to read it

The signed ratio is (latest price - day VWAP) / day VWAP. +0.02 means 2% above VWAP, -0.02 means 2% below, and zero means equal. Larger magnitude means farther away. The reference resets with the UTC day; it is not a rolling 24-hour or user-anchored VWAP. It is absent before that day has usable traded volume. At exact midnight, a new-day trade can make the closing prior-day bucket absent for one tick.

Why a researcher might use it

Describe where price sits relative to the day's traded average, then compare that context with signed flow and trailing volatility.

What it does not prove

Distance is not a valuation measure or a promise of a return to VWAP. The average changes as trades arrive, and its reset can change the reading without a comparable price move. It is not the average entry price of current holders.

Use in Research

Technical details

Field ID

feature.vwap_dist

Valid query operators

at least, at most, between

Window operators: lowest, highest, average, latest or change in, over a trailing window.

Editable query preset

This preset is a starting point, not a recommendation. Edit it before running the search.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.vwap_dist",
        "gte",
        0.02
      ],
      [
        "times.anchor_time",
        "gte",
        "2025-07-15T00:00:00.000Z"
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 5,
    "cursor": null
  }
}

The search reports how often the record held this condition and what followed. It does not decide whether an idea works.