Lightspeed Trader Guide
TWAP/VWAP Order Type
Lightspeed Trader can send TWAP (Time Weighted Average Price) and VWAP (Volume Weighted Average Price) orders through routing provider, Instinet. Below is information regarding these two order types including the strategy purpose, default setting, and its parameters.
VWAP (Volume Weighted Average Price):
Strategy Purpose:
- Trades against the volume-weighted average price over the specified trading horizon
Default Settings:
- 35% Max Participation
- Includes Opening Auction; Excludes Closing Auction
- Incorporates Oddlot Trading Logic
Parameters:
- Price Limit
TWAP (Time Weighted Average Price):
Strategy Purpose:
- Distributes trades evenly across the specified time horizon
Default Settings:
- 35% Max Participation
- Excludes Opening and Closing Auction
- Incorporates Oddlot Trading Logic
Parameters:
- Price Limit
Below are the steps to configure these order types in the Lightspeed Trader platform.
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