not clr on this.
These terms are in which context? and what is TWAP (time weighted…)
TWAP = breakup order in proportion of time % of vol = trading in proportion to market vol (typically 5-20%) until order completed.
what does it mean “break up order in proportion of time”?
does it mean under TWAP, we trade equal amounts at all times in the day? woud be very kind if you can just put some numbers to explain this … and how that’s different from % of volume? % of volume also means trading 5-20% of market volume to keep impact costs less. thanks.
got this … thanks
TWAP = fixed volume traded at equal intervals of time? VWAP = variable volume traded?
Just thinking outloud… Time weighted average price strategy: If you need to sell 1,000 shares… sell 20% of 1000 throughout the day… 200/200/200/200/200 percentage of volume strategy: Same 1,000 shares… sell 5% of overall market volume (say it was 10,000 for overall)… until the order is filled… so you would sell 500 and 500… and you will not have any impact on the market… – am I correct?
^Correct – 200/200/200/200/200 vs 500/500
Thank you, LaGradeFinale =)