Implementing a VWAP algorithm

Discussion in 'Automated Trading' started by kubilai, Oct 6, 2008.

  1. kubilai


    I want to implement one myself. Anyone know of good references?
  2. slacker


  3. kubilai


    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.
  4. 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.................
  5. A lot of the VWAP reversion trading shops are getting killed just now.

    Might be the ideal time to get in.