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Executing at VWAP



  • 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.



  • Issue limit or stop order using current VWAP. If price will cross it during next bar, than your order will be executed.


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