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?