VWAP (Volume Weighted Average Price)
Algorithm designed to match the volume weighted average price during a pre-selected interval of time. Uses historic data to predict likely volumes during the set period and may adjust dynamically to market unexpected peaks and troughs in traded volumes during the interval. Because the end time is fixed, inventory must be managed over the period to ensure there is sufficient left to trade during what remains of the period. Typically users set the level of ‘aggression’ they want to adopt by the interval period they set. There are usually opportunities to adjust this aggression level and complete orders immediately if prices reach a target level.
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