Take the 2-minute tour ×  I would like to ask about maybe
obvious thing for many people, but cannot find a good answer for
it.  In many, many places I see OHLC data along with OHLC
analysis tools.  As I deduce step by step in my calculation I
think the Volume Weighted Average Price (VWAP) is the better
choice. I see OHLC as a lossy compression of price and VWAP as a
lossless compression of price information.  I understand OHLC is
faster for CPU/memory to process, but what are the other
advantages/disadvantages of using OHLC and VWAP?  share|improve
this question  2 Answers 2  up vote 5 down vote accepted  Both
are for aggregating tick data, but they have very different
uses. OHLC is generally for visualizing price movements, while
VWAP is often a target price in an algo order. That is, an asset
manager may wish to get filled at the VWAP by submitting an
order to an algorithmic execution service. The asset manager
will then see OHLC bars on his screen throughout the day.
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