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# Measuring VWAP Execution

How can one measure whether a particular VWAP algorithm is good or bad? I am assuming that all algorithms give a VWAP - X price.

2. ### Don Bright

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?

4. ### Don Bright

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?

6. ### Don Bright

Generally double from what my people tell me. Probably a good deal for the most part.

Don

what does that equate to in terms of \$s. for futures and stocks?

8. ### Don Bright

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