Twap /vwap

[tech_trader]

Does anyone know any futures brokers that offer TWAP or VWAP or something similar for trading strategies? I have been searching all over but can't find anything.

 

[TheBramble]

Brokers don't normally offer strategies.

 

[tech_trader]

Brokers don't normally offer strategies.

OK. Does anyone know anybody offering TWAP/VWAP or something similar for futures. It would take a great deal of work off my back during the trading day.

 

[TheBramble]

TT - are you looking for a broker that will fill you at VWAP/TWAP?

Don't understand the problem. If you're an institutional size player - you'll already have that facility.

If you're not - you'll be playing VWAP against the institutions.

You're sounding like a busy trader so are you ind or owned?

 

[LevII]

Does anyone know any futures brokers that offer TWAP or VWAP or something similar for trading strategies? I have been searching all over but can't find anything.

Interactive Brokers offer VWAP on certain stocks.

LII

 

[TheBramble]

LII - TT is looking for VWAP on Futures...

 

[Trader333]

It would take a great deal of work off my back during the trading day.

In what way does "not having" this facility cause you a great deal of work ?


Paul

 

[tech_trader]

In what way does "not having" this facility cause you a great deal of work ?


Paul

I spend half of my day working into and out of positions. It would be nice to have something to do that for me.

 

[tech_trader]

TT - are you looking for a broker that will fill you at VWAP/TWAP?

Don't understand the problem. If you're an institutional size player - you'll already have that facility.

If you're not - you'll be playing VWAP against the institutions.

You're sounding like a busy trader so are you ind or owned?

I am ind at the moment. I haven't even found institutions with anything for futures.

 

[Trader333]

I spend half of my day working into and out of positions. It would be nice to have something to do that for me.

I am not sure what you mean here. Can you give more details or a more in depth explanation of your trading approach ?


Paul

 

[tech_trader]

I am not sure what you mean here. Can you give more details or a more in depth explanation of your trading approach ?


Paul

I trade mechanical systems. Some markets I trade are too illiquid to place market orders, so I have to work my way in to a position. I am looking for an algorithm that will help me with this.

 

[TheBramble]

Are you winding us up?

If you're into illiquid stocks , where the hell does vwap/twap come into the picture?

Bertie, are you playing games?

 

[Trader333]

Why trade illiquid stocks at all ? There are plenty of highly liquid ones that offer a host of profitable opportunities almost every day.


Paul

 

[tech_trader]

Why trade illiquid stocks at all ? There are plenty of highly liquid ones that offer a host of profitable opportunities almost every day.


Paul

I am not talking about the stock market. I was looking for futures. I am going to write my own software for this. Thanks.

 

[Trader333]

There are VWAP studies that work well with Tradestation but if you are going to write your own software then I hope it works out for you.


Paul