Measuring VWAP Execution
- Thread starter bidask
- Start date
Not sure of the question...volume weighted average price is exactly what it is....I suppose someone could write a "wrong" formula, but??
Don
as far as i know it is not possible for the algorithm to capture the exact VWAP price. there is always a variance of X on top of VWAP.
oops in my first post i meant to say VWAP + X.
Edit: to clarify further, one broker's algorithm may have a higher X than the other. i am asking what is a good/average/bad X?
oops in my first post i meant to say VWAP + X.
Edit: to clarify further, one broker's algorithm may have a higher X than the other. i am asking what is a good/average/bad X?
For the most part, brokers charge a premium commission to guarantee a VWAP delivery or sale of stock.
They don't add $$ (at least the people I know).
Don
They don't add $$ (at least the people I know).
Don
Generally double from what my people tell me. Probably a good deal for the most part.
Don
Primarily for stocks. Rather than have a broker "work the order" (to buy 100,000 shares for example)...at the broker's discretion (attempting to get good prices)....the institution will pay, maybe, $1200 vs. $600 to execute the order at VWAP. 100K shares x 1 cent = $1,000, so the $600 difference is a small price to guarantee a "fair" price IMO.
Don
Not sure why anyone would want to by the "average" price in futures? But, I'm pretty sure that no one would offer that.
Don