Discussion in 'Automated Trading' started by kubilai, Oct 6, 2008.
I want to implement one myself. Anyone know of good references?
VWAP stuff that may help:
Stock and Commodities has a few articles in the past few months on vwap trading that are poorly written but interesting.
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.
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.................
A lot of the VWAP reversion trading shops are getting killed just now.
Might be the ideal time to get in.
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