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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.




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