Measuring VWAP Execution

lol pardon my ignorance, why wouldn't anyone want to do this?

Quote from Don Bright:

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
More...
 
Quote from bidask:

lol pardon my ignorance, why wouldn't anyone want to do this?
More...

Large funds and institutions need to put money to work, at a fair price, with investments in equities. They can't try to pick direction with futures. Some "hedge" fund types may arb the futures against baskets, but only based on Premium and Discount to fair value during the actual trading day...so their purchases/sales are done in real time based on these calculations.

Feel free to call if you like. 702.739.1393 (fingers getting tired, LOL).


Don:p
 
Quote from bidask:

How can one measure whether a particular VWAP algorithm is good or bad? I am assuming that all algorithms give a VWAP - X price.

What is a good/average/bad X?
More...

<b>Where do I find the Algo for the VWAP calculation</b>

... I have all sp500 stocks in my DDE spSheet...

i would like to try calculating it and plotting it in my chart package from my excel feed...

cj...
 
You must log in or register to reply here.
Back
Top