Toomre Capital Markets LLC

Real-Time Capital Markets -- Analytics, Visualization, Event Processing, and Intelligence

Algorithmic Trading: How does one write code the algorithm to trade block of y shares in company x at the market VWAP?

Yesterday in the midst of a conversation with a prospective TCM client, we got into a conversation about just what would be needed to program the algorthm to electronically trade a block of y shares size in company x within some confidence level of the market VWAP. It is quite an interesting problem and one of the keys to running a successful program trading desk on Wall Street or for a large asset manager. The client agreed TCM has some interesting approaches in this area, but is going to continue to use their propietary system for the foreseeable future. Should a reader of this blog be interested in discussing this topic further, please contact Lars Toomre or Aldon Hynes directly.