标题: ECN over VWAP????? [打印本页] 作者: jcole21 时间: 2011-7-11 19:32 标题: ECN over VWAP?????
In CFA AM 2010, Q8, when you want to execute an order which is a large % of the avg daily volume, has a high bid ask spread and the urgency is less.... which trade execution tactic would u choose:
A - VWAP
B - Implementation shortfall
C - ECN
I answered VWAP since its an algorithmic trading tactic and it will reduce mkt impact by breaking up the order and fitting it in the normal ebb and flow.
however, the correct answer is ECN.
isnt the whole idea of algo trading to min Mkt Impact on large orders!!作者: cityboy 时间: 2011-7-11 19:32
size is too large relative to daily volume, large bid ask spread . both make ECN the only choice
