You can vote to bring the feature in through their feedback page, lots of interest in it dating back to 2012 I think. I also chatted to support and they mentioned nothing was in the works, so that kinda left me looking for alternatives. I jumped onto DAS Trader as someone pointed out that IB will execute their orders, however, I had plenty of stability issues with their platform and sent their support team my logs to fix some brutal crash errors. Long story short, I moved back to TWS and am now using freestockcharts.com to get a heads up on VWAP location as they stream with only a 5 second delay. It seems ridiculous to have to do this, but I like everything else about TWS, specifically the scanner and news system. Just hoping IB sees the fucking light and incorporates VWAP soon, I mean Questrade even has it already!