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