We’ve shown a merging technique above, so now let’s focus on a standard aggregation, namely Volume-Weighted Average Price (VWAP), which is the average price weighted by volume. This metric is an indicator of the trend and value of the security throughout the day. The
vwapfunction within our wrapper class (in the attached notebook) shows where the VWAP falls above or below the trading price of the security. In particular, we can now identify the window during which the VWAP (in orange) falls below the trade price, showing that the stock is overbought.
Click through for the article, as well as a notebook you can try out.