Apama Capital Markets Foundation Documentation : Algorithmic Trading Accelerator : Running the ATA Samples : Using Algorithmic Trading strategies : Volume Weighted Average Price (VWAP)
Volume Weighted Average Price (VWAP)
Using the VWAP strategy
Also referred to as Volume Curve based trading, this strategy will trade a given volume over a given duration with respect to a defined trading volume.
Note that the volume curve will be displayed over its full length, typically a trading day, while the planned/executed volumes will be displayed only over the strategy lifetime.
Select an instance in the Scenario Instances to view its data in the graphic section. The user provides the predicted volume distribution curve in either absolute values or in percentages. This defines what the trader believes the trading volume will be over the duration of that time window.
The total quantity to trade is then partitioned into a number of clips; each clip is executed in turn throughout the trading period. In addition to calculating the correct volume to execute at each clip, the scenario will work each order aggressively. The aggressiveness level is determined by discrete percentage thresholds according to how far ahead or behind the anticipated market volume the VWAP is currently performing. The strategy will switch price models to become more or less aggressive in the market the farther ahead or more behind it is. It will place a market order as a last resort if trailing significantly.
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