Volume-weighted price without real volume

[Fairman]

Volume-weighted price without real volume

VWAP, the volume-weighted average price, is a favorite benchmark in equities. Institutions measure execution against it. In forex, there's no consolidated volume, so the indicator must use tick volume as a proxy.

Tick-volume VWAP still has some value. It gives a running average price weighted by activity. Price above it suggests buyers have been more aggressive during the session. Price below suggests sellers.

The anchoring matters. Starting the calculation at the London open, the New York open, or midnight produces different lines. Each anchor reflects a different group of participants.

As a scalping tool, it works like a dynamic mean. Price stretched far from VWAP tends to gravitate back toward it during quiet periods, and in trends it acts as a support or resistance zone.

The quality of the proxy varies by broker. A feed with heavy tick flicker distorts the weights.

Testing is easy. Plot the line, count how often price returns to it after a stretch of a certain size, and compare to a simple moving average. If VWAP isn't better, it adds nothing.

Which anchor time works best for the pair being traded?