Hacker News new | past | comments | ask | show | jobs | submit login

And how far is "not terribly far"? Pennies? Nickles? Dimes? Dollars?

I can say with a great deal of confidence that a "random" VWAP algorithm would, on average, suck.




For context:

Many brokers will guarantee an execution at VWAP. It's a competitive business. The last time I put in such an order, I traded a double-digit percentage of the day's volume and paid 10bp commission (0.10%).


Brokers guarantee VWAP only if they also are paid a very healthy commission. They generally lose to VWAP, but makeup for it in premiums.

Plus, if you are dealing with a large broker they may just cross your order with an offsetting order (or their own position, execute nothing in the market and keep the entire premium.




Guidelines | FAQ | Lists | API | Security | Legal | Apply to YC | Contact

Search: