VWAP Orders

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Imported from previous forum

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[ original email was from John Goeller - john.goeller@ssmb.com ]
What do you think is the best way to handle VWAP orders?

Do you need a new OrdType ie V for VWAP? or do you use OrdType = P with a new value for ExecInst that identifies VWAP?

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> What do you think is the best way to handle VWAP orders?
>
> Do you need a new OrdType ie V for VWAP? or do you use OrdType = P with a new value for ExecInst that identifies VWAP?
>
>
> I am not sure anyone has answered this question so I am asking it again. To further the issue though I’d like to add that the business unit wants to find the correct way to do this and to find a way to specify a time range i.e. between 10:am and 10:30 am…Thanks Don

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> > What do you think is the best way to handle VWAP orders?
> >
> > Do you need a new OrdType ie V for VWAP? or do you use OrdType = P with a new value for ExecInst that identifies VWAP?
> >
> >
> > I am not sure anyone has answered this question so I am asking it again. To further the issue though I’d like to add that the business unit wants to find the correct way to do this and to find a way to specify a time range i.e. between 10:am and 10:30 am…Thanks Don
>
>
We are addressing this in the 4.4 release. In summary the current proposal is that there will a new Exec Inst (work to target strategy) and one of the target strategy enums will be VWAP (others will be ‘participate’ - i.e. be x percent of the volume, and ‘minimize market impact’). Start times and end times would be specified using EffectiveTime and ExpireTime. Note that ExecInst of ‘peg to VWAP’ is not appropriate for the usage that you describe

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I’ve heard a bunch of noise around the “CSFB tags” as a quasi-standardized way of handling VWAP. Are these documented anywhere either on the site or elsewhere?

> > What do you think is the best way to handle VWAP orders?
> >
> > Do you need a new OrdType ie V for VWAP? or do you use OrdType = P with a new value for ExecInst that identifies VWAP?
> >
> >
> > I am not sure anyone has answered this question so I am asking it again. To further the issue though I’d like to add that the business unit wants to find the correct way to do this and to find a way to specify a time range i.e. between 10:am and 10:30 am…Thanks Don
>
>