1
$\begingroup$

Most large orders nowadays are done through TWAP or VWAP based order execution. For example, if Alice wants to sell $60 million in EURUSD she will break up her order into 50,000 tiny orders and then send them to the broker over the course of T time.

Are there any papers/known methods in detecting such behaviour?

Improve this question
$\endgroup$
4
  • $\begingroup$ after detecting a trader's strategy, what use does knowing it have, or what do you plan to do with that information $\endgroup$
    – develarist
    Jan 22 at 12:22
  • $\begingroup$ The first generation of algos broke things up in exactly equal sized orders so people looked for recurrent sized orders (e.g. 1357 shares). I assume the game is more sophisticated nowadays and more difficult to detect. $\endgroup$
    – noob2
    Jan 22 at 12:49
  • 2
    $\begingroup$ What you describe in the example is Accumulate Distribute interactivebrokers.com/en/index.php?f=4985, not VWAP or TWAP. Size is random, interval is random. $\endgroup$
    – Sergei Rodionov
    Jan 22 at 13:39
  • $\begingroup$ @SergeiRodionov That link is really useful thanks. $\endgroup$
    – Dylan Kerler
    Jan 22 at 15:45

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.