3. Executing at VWAP
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

Executing at VWAP

  • H

    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.

    0
  • A

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

    0
Log in to reply
 
});