VWAP ASIA Algorithm Specification.doc

VWAP_ASIA Algorithm Specification
Version
Revision History
Date
Version
Description
Author
21/01/2008

Initial Version.
Breck Thomas
22/01/2008

Wave refactoring parameters update
Richard Knight/Serge Vasiliev
Table of Contents
1. INTRODUCTION 4
2. TRADING BEHAVIOUR 4
3. PARAMETERS 4
Global Parameters 4
Additional Parameters 4
4. NON-FUNCTIONAL REQUIREMENTS 6
Introduction
The purpose of this document is to define how the VWAP_ASIA algorithm works and the parameters available to control its behaviour.
The VWAP_ASIA algorithm is written using the EASY framework. For more information see ./confluence/download/attachments/99305/
Trading Behaviour
Summary
VWAP will trade your order between the start and end times given. It will aim to achieve the market volume-weighted-average-price between those times. If a start time is not selected it will start trading immediately.
Flow Diagram
.
Parameters
Global Parameters
GLOBAL PARAMETER
FIX tag
VALUES
MEANING
Limit Price
44
 
 
Start Time
6062
start Time of strategy
if you are trading and you change the start time the algo will cancel all open orders and reset itself to start at new time that you entered
End Time
6063
Time
 
Participate on Close
7901
not used
not used
Maximum Percentage of Volume
6064
%
Don't trade greater than this perc