Measuring VWAP Execution

lol pardon my ignorance, why wouldn't anyone want to do this?

 

Large funds and institutions need to put money to work, at a fair price, with investments in equities. They can't try to pick direction with futures. Some "hedge" fund types may arb the futures against baskets, but only based on Premium and Discount to fair value during the actual trading day...so their purchases/sales are done in real time based on these calculations.

Feel free to call if you like. 702.739.1393 (fingers getting tired, LOL).


Don

 

Bloomberg does the final trade calculation for the day for some brokers like IB...i think.

 

<b>Where do I find the Algo for the VWAP calculation</b>

... I have all sp500 stocks in my DDE spSheet...

i would like to try calculating it and plotting it in my chart package from my excel feed...

cj...

 

Anyone know of any studies comparing buying at the open / close / to vwap?

Thanks

 

http://www.google.com/search?q=vwap+calculation&hl=en&lr=&safe=off&start=10&sa=N

 

http://www.codeproject.com/script/profile/whos_who.asp?vt=arts&id=1266770

 

Thanks for the leads...



cj...

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