Best way to Execute a VWAP order?

Discussion in 'Order Execution' started by Johnni.h, Feb 13, 2020 at 12:51 PM.

  1. Johnni.h

    Johnni.h

    I want to place a VWAP order from the open to close.

    News on the stock came out so the volume is going to be much higher than the average volume.

    If I place a VWAP order will it end up Buying the whole order right away since the volume is much higher than average or will I get filled at the real VWAP for the entire day.

    Note: I am using Interactive Brokers

    Thanks!
     
    murray t turtle likes this.
  2. Sekiyo

    Sekiyo

    https://www.interactivebrokers.com/en/index.php?f=1124

    From my understanding it’s End Of Day VWAP.
    At least it’s trying to achieve it.

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    murray t turtle likes this.
  3. MarkBrown

    MarkBrown

    what you going to do when it whips back and forth all day?
     
    murray t turtle likes this.
  4. %%
    Sounds like you want sekiyo's post price??.And you may have thought about this, in a good trend , most likely you will not be able beat the VWAP @ all?? AS a practical matter, like IBD notes ''don't quibble over a quarter + miss the move'' Your post is not clear @ all whether you want one VWAP price or quite a few volume weighted average prices thru the day??
     
  5. Johnni.h

    Johnni.h

    Sorry for any confusion,

    I am not looking to beat the VWAP...I am looking to get one VWAP price for the whole day.

    I was unsure if the VWAP algos on most trading platforms like Interactive Brokers will pace itself on a day where the volume is significantly higher than the ADV.
     
    murray t turtle likes this.
  6. Sekiyo

    Sekiyo

    In VWAP there is a A meaning average.
    You can get any VWAP you want if you know the volume and the period.

    You can’t tell the daily VWAP before the close.

    All the algo care about is the VWAP.
    It will try to get filled around it no matter the state of the market.

    You won’t be filled far away from it even if there’s a 10K ask, bid showing up.
     
  7. H2O

    H2O

    What OP is suggesting is that the expected volume for today is much higher than normal due to a news release. OP's question is completely valid.

    To try and answer the question - assuming today's volume will indeed be a multitude higher than normal volume (and potentially 'lumpy'), this may indeed affect VWAP algorithms. Perhaps you could consider using TWAP instead although this may of course result in a completely different outcome.
     
    Last edited: Feb 14, 2020 at 7:35 AM
    murray t turtle and Johnni.h like this.