Time Weighteed Average Pricing: TWAP is (time weighted average price) the average price of contracts or shares over a specified time. Which makes buy price to be fair price instead of executign order at time of day when price is high.
When it is used? It is used at point of tiime when investor want to distribute its order through out the day.
Comapison with VWAP: In VWAP order is distributed according to volume traded in exchange while in this case time is the main factor. For example in VWAP 45% of the order takes place in first half of the day while rest of the order takes place in the second half of the day.To execute the order evceenly through out the day this algorithm is used.
Algo:
1) Get the order and decide upon the time execution.
2) Submit the order and include delay() function to delay certain order using for loops.
No comments:
Post a Comment