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?
Not sure of the question...volume weighted average price is exactly what it is....I suppose someone could write a "wrong" formula, but?? Don
as far as i know it is not possible for the algorithm to capture the exact VWAP price. there is always a variance of X on top of VWAP. oops in my first post i meant to say VWAP + X. Edit: to clarify further, one broker's algorithm may have a higher X than the other. i am asking what is a good/average/bad X?
For the most part, brokers charge a premium commission to guarantee a VWAP delivery or sale of stock. They don't add $$ (at least the people I know). Don
then perhaps the premium commission more than covers the variance X. what is the typical commission for VWAP orders?
Primarily for stocks. Rather than have a broker "work the order" (to buy 100,000 shares for example)...at the broker's discretion (attempting to get good prices)....the institution will pay, maybe, $1200 vs. $600 to execute the order at VWAP. 100K shares x 1 cent = $1,000, so the $600 difference is a small price to guarantee a "fair" price IMO. Don
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