Don thanks for that practical explanation. And I hate to sound ignorant but it's my specialty, say XYZ is near/at the VWAP and the T&S starts printing size hitting the offer. Are you saying.... not guaranteeing for gosh sake .... that this is a good time to ride the coattails of the big money? Just a thought, if the price is at what has been calculated to be an extreme vs the VWAP, say below the VWAP, and T&S startd printing size at the offer, would this suggest a buying opportunity? Again... just speaking ballpark. Thanks. Edit: I went back and reread the thread. Having done so, then it seems that my 'just a thought' from above was already answered and the answer would be yes. Someone let me know if I am incorrect in my conclusion please.
If you think about what the broker must do at 5 minutes before the close (finish his order), then you would likely see a continued uptrend. Before playing with the VWAP too much, get good at tape reading, and write down the prints above 10,000 shares (most stocks), 25,000 for highly liquid stocks. While I'm at it, think about the other side. Say the stock is trading 50 cents above the VWAP, wouldn't the broker start to slam the stock (perhaps covering with SSF's or options)......all things we have to watch every day. Don
See above.....but I forgot about your last question....NO Buying opportunity for us....if the VWAP is already above the current price, the broker gets to sell with a profit. Don
We started trading @ ITG, were unhappy, traded similiar portfolios @ ITG and others, currently beating ITG elsewhere. Who is UNX?
a while ago we did light research on people providing VWAP. we found ITG, UNX and ATDESK interesting, but we have not made buiness with one of them. actually i did not feel too good about ITG, but since we did not trade with them i cannot judge. the organisation at least at that time did not impress me in terms of technological pioneering ... just my opinion. the two others were recommended to us - not more than a sales contact ever happened. the real thing is whether people have trading systems that can deliver VWAP plus a profit and share some of that profit with clients buying VWAP. i never digged deeper here but it is funny that these systems obviously do not make money but are able to beat VWAP quite consistently. we haven't researched tick data in detail but these VWAP systems have probably some basic statistics embedded that enable them to avoid big spikes - which VWAP cannot. peace
Madoff offers a time weighted average-price execution that can slices orders across the day or at customized times. Helpful for institutions moving large orders.
Hi Iraj, Glad to see you are still trading well. I am from the "new trading traders club" so I am familiar with the "macci" you introduced. You did mention a bit about the vwap when you were with the trading club that used to be part of mohammeds ird website in 2002 , but sadly never did find that much information about it. Incidentally did you get much response to the "Cheshire trading club" post on the trade2win site recently ? I live about half an hours drive from Northwich so it sounds quite interesting. Good trading, Andrew