Alex i have a task for you on the topic of trading to a VWap/ Accumulation strategy
I need this by Thursday 2, November 2017, 10:00 am PST.
I want to be able to back test a strategy with the purpose of liquidating or accumulating a fixed number contracts over a defined window of time to achieve a volume weighted average price.
I want to be able to back test a strategy that will trade to a volume weighted average price with the ability to go over weight the scheduled quantity in the event that "good" prices are available.
So that i can :
offer commercial hedging clients a strategy to replace the unsystematic liquidation of their commodity hedge liquidation.
Alex i have a task for you on the topic of trading to a VWap/ Accumulation strategy I need this by Thursday 2, November 2017, 10:00 am PST.
I want to be able to back test a strategy with the purpose of liquidating or accumulating a fixed number contracts over a defined window of time to achieve a volume weighted average price.
I want to be able to back test a strategy that will trade to a volume weighted average price with the ability to go over weight the scheduled quantity in the event that "good" prices are available.
So that i can :
offer commercial hedging clients a strategy to replace the unsystematic liquidation of their commodity hedge liquidation.