VWAP and liquidity

Discussion in 'Trading' started by toe, Jun 11, 2005.

  1. toe


    Anyone have enough experience with VWAP to estimate what percentage of daily volume can be traded reasonably using VWAP orders? ( no my account is not that big its just a theoretical question :) )
  2. Reasonably? I suspect that even 5% of daily volume will probably cost you some slippage.

    I would tread carefully in illiquid stocks.
  3. toe


    Thanks, I should've said I'm interested in big caps, S&P500 etc
  4. In the case of high volume stocks, I doubt you will have a problem with size, unless you are trading huge sums.