Outright cancelling the VWAP sale order and resubmitting a new order would result in a VWAP "price" that is very different from the theoretical VWAP. Could this be used to get a closer VWAP price than that method (i.e. offsetting VWAP sale with VWAP buy)?

  • $\begingroup$ I use 4 different prime brokers and 3 different execution platforms--I am able to reduce the size of the order without affecting the VWAP on all platforms and with all brokers. Initiating an opposing order should not be necessary. $\endgroup$ – amdopt Dec 12 '19 at 12:37
  • $\begingroup$ Thanks very much for your answer - if i could just ask a follow up question by just reducing the order - wouldn't the already executed sale have an overweighted effect on your VWAP price in that case? Or could the broker roughly guess and smooth the price out? $\endgroup$ – michael Dec 12 '19 at 12:58
  • $\begingroup$ Yes, your order (having been reduced in size) will have a different volume-weighted execution price when compared to the VWAP of the stock for the whole trading day. Whether this is good or bad depends on what you are looking to do with the position (it's possible to get a price better than VWAP). A broker has nothing to do with how you manage the execution of your order. If you absolutely must execute in such a way that allows you no tolerance for any deviation from the actual VWAP, you should consider that before you begin executing and take the appropriate steps to ensure proper execution. $\endgroup$ – amdopt Dec 12 '19 at 13:11

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