VWAP Algorithm

Value Weighted Average Price: in this algo trader first estimate the volume of the trade that takes place in the market on a particular day. Then depending upon the volume traded in day he/she divides the number of the stocks to be bought depending upon the volume in the market so that effective price should be weighted average price.I will try to write algo for this:

1. Find Daily Volume in a stock, Say it came out to be X.
2. Number of shares to be bought in day , Say 100.
3. At particular time if total volume traded on stock is 10% of X then buy 10% of stock, means buy 10 shares.

Note: Percentage can be reduced to 1% or whatever value you want.

This algorithm instead of used for day can be used for long or short duration. VWAP is typically used by HNIs who do not want to sway the market with their orders and do not want to let sniffer know their presence in the market.

Thanks

Sidharth