Interval VWAP

The interval VWAP measures the volume weighted average price between the placement and last fill of a metaorder or larger child order. If we observe consistently signed order flow in this period, we can anticipate mean reversion to this level before potential trend continuation.

How can you use this information to your advantage as a trader?

In the CEED.accelerator, you’ll learn how to read algo order flow and use concepts like interval VWAP symmetry and the square root law to anticipate price action.