We have performed high-speed UBV photometric observations on the peculiar binary V Sagittae. Using three new eclipse timings we update the orbital ephemeris and convert it to a dynamical time-scale (TDB). We also searched for quasi-periodic oscillations but did not detect them. Using the Wilson-Devinney algorithm we have modelled the light curve to find the stellar parameters of V Sge. We find that the system is a detached binary but that the primary star is very close to filling its Roche lobe, while the secondary star fills 90per cent of its Roche lobe volume. We find temperatures of the primary and the secondary star to be T1=41000K and T2=22000K. We find i=72 deg and masses of 0.8Msolar and 3.3Msolar for the primary and secondary stars respectively. De-archived Hubble Space Telescope (HST) spectroscopy of V Sge shows evidence of mass loss via a wind or winds. In addition we report radio observations of V Sge during an optical high state at 2cm, 3.6cm and 6cm wavelengths. The 3.6cm emission is increased by a factor of more than six compared with an earlier detection in a previous optical high state.