I'm having trouble discerning the difference between weighted and unweighted prices that I'm seeing around. A lot of analytics sites say they show the weighted prices, but I'm not precisely sure what that means. Can somebody describe the difference for me? From my current understanding, I can execute a trade at the non-weighted price but the weighted price is what will effectively be used once the order books are all processed. Is that totally wrong? Thanks a lot for the clarification.

A weighted price will take the account of volume each price point has. It will give weight to each price point in proportion to the volume of each price.

An unweighted price is simply an average of all the price points in question.