Prevailing Market Price: VWAP for Bonds?
11/25/2019 Traders Magazine
After initial skepticism, equity market participants have for years harnessed volume-weighted average price (VWAP) to evaluate execution quality. This key metric is enabled by the transparency of the equity markets where both pre- and post-trade data are readily available for every stock and where algorithms are impacted by changes to that data in a matter of milliseconds. As the equity market has grown comfortable with the consistent calculation method of VWAP, the focus of execution analysis has shifted from which is the appropriate benchmark toward how best to use and interpret the benchmark comparisons. open website
Prevailing Market Price: VWAP for Bonds?
11/01/2019 Corporate Bond Friday Newsletter
After initial skepticism, equity market participants have for years harnessed volume-weighted average price (VWAP) to evaluate execution quality. This key metric is enabled by the transparency of the equity markets where both pre- and post-trade data are readily available for every stock and where algorithms are impacted by changes to that data in a matter of milliseconds. As the equity market has grown comfortable with the consistent calculation method of VWAP, the focus of execution analysis has shifted from which is the appropriate benchmark toward how best to use and interpret the benchmark comparisons. open website
