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VWAP / TWAP

Volume-weighted and time-weighted average prices for precise execution benchmarks.

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vwap

VWAP

VWAP is the volume-weighted average price, emphasizing the levels where the market actually did the most business.

It is one of the most practical benchmarks in trading because it aligns naturally with execution quality and real turnover.

twap

TWAP

TWAP is the simple time-weighted average price, giving equal importance to the full interval path.

Comparing TWAP to VWAP helps reveal whether heavier trading occurred above or below the average timeline of prices.

VWAP and TWAP are both price averages over an interval. But they weight observations differently — by volume and by time, respectively — and the divergence between them is itself a powerful signal about the quality of price moves.

Endpoint

/api/v1/data/vtwap

Category

Market Data

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s

Requires timestamp=true

Exchanges
binance-futuresokx-perpshyperliquid-perps
Fields2
vwapVWAPTrade-size-weighted average price in the interval
twapTWAPArithmetic average trade price in the interval
Example Request
from datetime import date
from aperiodic import get_metrics
df = get_metrics(
    api_key="YOUR_API_KEY",
    metric="vtwap",
    exchange="binance-futures",
    symbol="perpetual-BTC-USDT:USDT",
    interval="1d",
    start_date=date(2024, 1, 1),
    end_date=date(2024, 3, 1),
)
print(df.head())

Query Parameters

timestampreqstring
string

Timestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.

exchangetrue
intervalreqstring
string

Aggregation time interval for the data.

1m5m15m30m1h4h1d
exchangereqstring
string

Source exchange for the data.

binance-futuresokx-perpshyperliquid-perps
symbolreqstring
string

Trading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas

start_datereqstring<date>
string<date>

Start date for the data range (YYYY-MM-DD format). Data is partitioned by year and month.

end_datereqstring<date>
string<date>

End date for the data range (YYYY-MM-DD format). Must be greater than or equal to start_date.

Successful response with download URLs for each monthly file

Schema
filesobject[]required

Array of file information for each month in the requested date range

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

urlstring<uri>required

Presigned URL for direct file download (valid for 5 minutes). URLs are served from dataset-specific subdomains, e.g. ohlcv.aperiodic.io, trade-metrics.aperiodic.io, l1-metrics.aperiodic.io, l2-metrics.aperiodic.io, derivative-metrics.aperiodic.io.

Example
{
  "files": [
    {
      "year": 2024,
      "month": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2024-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2024,
      "month": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2024-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}
Try It
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Authentication
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GET/api/v1/data/vtwap?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31
Response will appear here

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