Volume-weighted median
The price at which half the traded volume is above and half below, which is robust to outlier trades.
A volume-weighted median sorts trades by price and finds the price at which cumulative volume reaches half the total. Unlike VWAP, one very large trade at an extreme price does not pull it far, because that trade counts only as its position in the sorted list. The volume at a price still matters, so heavy trading at a level moves the median toward it.
On our site, this figure is shown where we want a typical price that is less distorted by a single print. Read it next to VWAP: a large gap means a few trades are dominating the average.
Traders care because one erroneous or manipulated print can distort a VWAP but barely moves a robust median, which helps show where most volume actually traded.
Worked example (illustrative numbers, not real data): trades of 100 shares at 49.00, 900 at 50.00, 100 at 50.10 and 900 at 90.00 (an erroneous print). Total volume is 2,000, so the half-way point is 1,000. Cumulative volume reaches 1,000 at 50.00, so the median is 50.00. The VWAP for the same trades is about 68.