VWAP means volume-weighted average price: the average price for the session, with each price weighted by how much traded there. Fine in futures and shares, where trades run through one tape.
Spot FX has no such tape. Trading is spread across banks, ECNs and dealers, and nobody sees the total. So the volume on the chart is usually tick volume, meaning the number of price updates a broker's feed sent, not lots traded.
That makes the line a price average weighted by how busy the quote feed was. It's still a reasonable proxy for where the session spent its time, since busy quoting and heavy trading often go together. It just isn't the same number the next trader sees on another feed.
Two more caveats. The anchor matters a lot: start at the Asian open, the London open or midnight and the result is three different lines. And the usual reading, that price stretched far from VWAP tends to snap back, is a habit borrowed from equities with no guarantee it carries over.
Some traders use CME FX futures volume as a cleaner stand-in, though that covers one venue and its own trading hours.
Which anchor do you use for VWAP on the majors, and have you ever compared it between two brokers on the same day?
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VWAP on spot FX is a bit of a fudge
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