Typical VWAP Commissions?

Discussion in 'Order Execution' started by StudentVWAP, Jan 13, 2011.

  1. Would anyone know the current typical commissions for Guaranteed VWAP and VWAP Best Effort (Algorithm) trades (For example Buy 100,000 MSFT)? I am doing a research project writing algorithms to beat VWAP, but brokers are reluctant to part with this information. So far, I have and estimate for VWAP Algorithm Execution of approximately 5bps, but somewhat better for large cap, highly liquid stocks.