Implementing a VWAP algorithm

[kubilai]

I want to implement one myself. Anyone know of good references?

 

[slacker]

VWAP stuff that may help:

http://www.codeproject.com/KB/recipes/VWAP.aspx

http://ezinearticles.com/?Day-Tradi...erative-VWAP-Versus-Cumulative-VWAP&id=831607

Stock and Commodities has a few articles in the past few months on vwap trading that are poorly written but interesting.
Look at:
http://www.traders.com/Documentation/FEEDbk_docs/Abstracts_new/Coles/coles.html

Good trading!!!

 

[dtrader98]

http://elitetrader.com/vb/showthread.php?s=&threadid=132481&perpage=6&highlight=vwap&pagenumber=4

search function.

 

[kubilai]

Thanks for replying, guys! I did do my obligatory search before asking.

What I failed to make clear is that I'm not looking to calculate the VWAP based on past price history, that's the easy part. I want to implement a trading algorthm that will achieve the VWAP price by placing market and limit order as appropriate. The reason I want to do this is because guaranteed VWAP orders only work on large stocks, and IB's VWAP algo appear to be sub-optimal.

 

[mokwit]

Anybody have a Tradestation formula for DAILY VWAP i.e VWAP between two dates e.g VWAP between Jan1 and Jun 1 for a stock or VWAP from highest high in a definable period eg HHV going back 2 years to present.

Just can't get my head round this one.................

 

[Kevin Schmit]

Quote from kubilai:

I want to implement one myself. Anyone know of good references?

A lot of the VWAP reversion trading shops are getting killed just now.

Might be the ideal time to get in.