Vwap

[qazmax]

Do you know anything about the kind of risk exposure IB has been exposed to with these kinds of trades?

I assume since most of IB is run by computers that a computer executes the VWAP? Is this true or is thre people involved. If you cannot say I understand.

If the computer released small parts of the orders throughout the day that it would closely approximate the VWAP and over time would have a 50/50 chance of winning or losing on that proposition. Is this IB's logic?

I know info may be top secret proprietary stuff... but this is what I started the thread to learn about.

 

[qazmax]

Quote from def:

at 2 cents a contract what do you think? in house of course.

the list of available stocks is on our site. i think we could handle any size in those stocks.

I know a vendor that will execute these for .01/sh
That means IB could charge .01/share and still be profitable.

So "what do I think".... I think IB is just as capable of routing them out as the next guy.

 

[metooxx]

Quote from qazmax:

Do you know anything about the kind of risk exposure IB has been exposed to with these kinds of trades?

I assume since most of IB is run by computers that a computer executes the VWAP? Is this true or is thre people involved. If you cannot say I understand.

If the computer released small parts of the orders throughout the day that it would closely approximate the VWAP and over time would have a 50/50 chance of winning or losing on that proposition. Is this IB's logic?

I know info may be top secret proprietary stuff... but this is what I started the thread to learn about.

You are forgetting about crosses; among other things ...

 

[qazmax]

Anyone know or have an opinion on if VWAP trading is on the rise or fall??

I heard that people are trending away from wanting to execute these trades...