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Inside an Algo Trading Strategy: VWAP, Order Pegging and Execution Explained!

decoded from QuantInsti Quantitative LearningmixedTrainingWatch on YouTube
NowPress play to follow along0:00 / 8:25
Chapters4 segments · tap to seek
ticker lesson

Breakdown

0:00lesson

Order execution strategy

  • 30k shares in 5 hours
  • best bid at 100
  • discretion range 20 cents
  • no strategy needed
2:05lesson

VWAP as execution metric

  • VWAP = 9.25
  • daily VWAP = 9.27
  • blue line = bids
  • red line = asks
  • probability of fill
4:03lesson

Order placement with probability

  • max EV = best placement
  • blue line = best bid
  • green line = probability
  • red line = asks
  • expected value
6:08lesson

Pegging and discretion rules

  • best bid at 100
  • discretion range 20 cents
  • peg at best bid + 10 cents
  • modify order at 100.3
  • avoid manipulation

Informational only — this is QuantInsti Quantitative Learning’s content, decoded by Plutus. Not Paid Daily’s advice or a recommendation. The outline, timestamps, and claims are extracted from what the creator said; verify before acting.