3 ms·
> Does order(c.security, -c.order_size) account for transaction costs, borrowing costs and vwapping using a symbol specific profile based on volume and volatili
by chollida1 13y ago
> Does order(c.security, -c.order_size) account for transaction costs, borrowing costs and vwapping using a symbol specific profile based on volume and volatility?
What does it mean to account for "vwapping"?
I mean I know what VWAP is, I write trading algos for a living but I have no idea what your trying to ask here:)
- resu 13y agoI meant do you assume you can buy or sell at the vwap price (+/- some slippage) or the closing price? Essentially using a vwap algo to enter or exit. The more active (frequency and volume) your backtest is, the more inaccurate the results will be if you just use the closing price.