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Executing at VWAP
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Hi all,
We are attempting some backtesting and wish to execute the trades based on the VWAP for the day.
Initially, we thought to use VWAP as the opening price and set cheat_on_open to true. The problem with this method is that we require the ATR to be calculated to generate a signal.
Does anybody have any suggestions or could point us in the direction of documentation that would help?
Thank you.
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Issue limit or stop order using current VWAP. If price will cross it during next bar, than your order will be executed.