Overview

The VWAP formula is straightforward: cumulative (price times volume) divided by cumulative volume. But "cumulative from when?" is a question the formula does not answer. The session definition fills that gap, and platforms make different choices.

For US equities, the regular trading session runs from 9:30 AM to 4:00 PM ET. Pre-market trading typically runs from 4:00 AM to 9:30 AM; after-hours runs from 4:00 PM to 8:00 PM. Pre-market and after-hours volume is real, but it is thinner and often less representative of consensus price discovery than regular-session volume.

How Session Definition Affects the VWAP Line

If a platform includes pre-market volume in its VWAP calculation, the accumulation starts before the regular open. A stock that gaps up significantly in pre-market will have a higher VWAP at the regular-session open than a platform that starts fresh at 9:30 AM.

This matters in two ways. First, the visual position of the VWAP line relative to price at the regular-session open can differ substantially between platforms. A trader comparing notes with someone on a different platform may see entirely different VWAP relationships. Second, for institutional execution benchmarking, the relevant universe of participants is typically regular-session participants, so including extended-hours volume contaminates the benchmark.

Conversely, some strategies specifically want to account for pre-market price action in their VWAP reference. Extended-hours VWAP is not wrong; it is a different tool measuring a different population of participants.

How to Check Your Platform

The session definition is usually found in the indicator's settings panel, labeled as "session," "session type," or "trading hours." Common settings include:

  • Regular hours only: Accumulation starts at 9:30 AM ET, resets at 4:00 PM ET (for US equities)
  • Extended hours: Accumulation may start as early as 4:00 AM ET, including pre-market volume
  • Custom: Some platforms allow defining a custom session window

If the setting is not visible, check whether the VWAP line begins at the regular-session open or earlier. If it appears to start accumulating before 9:30 AM ET on a US equity chart, the platform is including extended-hours volume. See also why VWAP differs between platforms for other sources of divergence.

Limitations and Context

  • Extended-hours volume is typically lower quality. Pre-market spreads are wider, order books are thinner, and price discovery is less efficient. Including this volume can distort the VWAP line by giving outsized weight to low-volume, less representative trades.
  • The standard default for most institutional benchmarking is regular-hours only. If you are using VWAP to evaluate execution quality, confirm your benchmark matches the session your orders were executed in.
  • International markets have different sessions. The session definition varies by exchange. A UK equity platform defaults to the London Stock Exchange session; a crypto platform may have no session boundary at all, making standard session VWAP less applicable. See does VWAP reset every day for the session reset discussion.

Frequently Asked Questions

Does VWAP include pre-market volume by default?

It depends on the platform. Most platforms default to regular-session-only VWAP, which excludes pre-market and after-hours volume. Some platforms include extended-hours volume, and some allow the user to choose. Check your platform's indicator settings to confirm.

Why would I want extended-hours VWAP instead of regular-session VWAP?

Extended-hours VWAP can be useful if a significant price event occurred in pre-market (such as a large earnings gap) and you want the VWAP to reflect that event's volume-weighted impact from the start of the day. Regular-session VWAP ignores pre-market activity entirely.

Does the session definition affect execution benchmarking?

Yes, significantly. Institutional VWAP benchmarks typically use regular-session volume only, matching the session during which most large orders are executed. Including pre-market or after-hours volume in the benchmark would produce a number that does not represent the relevant trading environment.

Is there a 24-hour VWAP for crypto?

Crypto markets trade continuously without a regular session boundary. Some platforms apply VWAP to crypto using a rolling 24-hour window or a fixed calendar-day reset at midnight UTC. The specific definition varies by platform. See the VWAP data quality checklist for how to specify this for backtesting.

If I switch platform settings from extended-hours to regular-hours, will my VWAP line change?

Yes. Switching the session definition changes which trades enter the cumulative sum, altering the VWAP line from the moment any extended-hours trades are included or excluded. The magnitude of the change depends on how much volume occurred outside regular hours.

References

Disclaimer

This page is for educational purposes only and does not constitute investment, financial, or trading advice. VWAP and related indicators reflect historical price and volume data and do not guarantee future results. Swoopr Investment is not a licensed investment advisor; consult a qualified professional before making trading or investment decisions.