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- UID
- 222318
- 帖子
- 396
- 主题
- 8
- 注册时间
- 2011-7-2
- 最后登录
- 2016-3-20
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Don't quote me on this but I think:
-High Volume of trades at the end of the day is NOT APPROPRATE for ISS but doesn’t matter for VWAP.
-Low urgency: good for VWAP not good for ISS
-Large Bid/Ask Spread is not good for any algorithm strategies so go with Broker or ECN
-Size of trade ratio to Daily Volume being high is again not good for any algorithm strategies. |
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发表于 2011-7-13 13:58
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