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Sigh. VWAP isn't an algorithm, it's a benchmark. Volume-weighted Average Price. An algorithm that is attempting to trade VWAP is trying to get the day's average
by joshu 16y ago
Sigh. VWAP isn't an algorithm, it's a benchmark. Volume-weighted Average Price. An algorithm that is attempting to trade VWAP is trying to get the day's average price, whatever it is. And a good algorithm is quite hard to detect.
- wrong 16y agoMost shops call their VWAP-benched algo "VWAP". http://www.thetradenews.com/algorithmic-trading http://www.thetradenews.com/algorithmic-trading VWAP algos try to beat VWAP over the order's timeframe, which is almost never the entire day.
- drstrangevibes 16y agono you read it wrong, they are detecting the true volume weighted price of an instrument, by sniffing all the little sneaky trades jettisoned into the market.