How VWAP Execution Differs from Direct Market Access
Summary
The document distinguishes direct market access (DMA) from a VWAP execution strategy in Bloomberg EMSX. DMA lets a trader submit market, limit, or other permitted order types directly to the market. A VWAP order instead follows an execution schedule intended to bring the order’s average fill price close to the volume-weighted average price over the order’s chosen trading period.
The key correction is that a VWAP order is not a rule to buy only when market price is below VWAP, or to stop selling when VWAP crosses market price. Its benchmark is the realized VWAP during the specified execution window. An order running from 2 p.m. to 4 p.m., for example, targets that interval’s VWAP rather than necessarily the full day’s VWAP. The explanation is conceptual and gives no performance data or details about EMSX’s specific algorithms, so actual execution behavior may depend on the selected strategy and settings.
Key ideas
- DMA allows direct submission of market, limit, and other supported orders.
- A VWAP strategy schedules execution to target the volume-weighted average price over a chosen period.
- The relevant benchmark is the VWAP of the order’s execution window, not automatically the full trading day.
- VWAP execution is not a rule that trades only when price is on one side of VWAP.
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# Understanding VWAP and DMA in EMSX Bloomberg # Understanding VWAP and DMA in EMSX Bloomberg I'm trying to better understand the difference between the VWAP and DMA Strategies in Bloomberg through the EMSX function. As far as I understand is putting orders in Direct market access(DMA) a way to throw them in the market to be filled just like that. Best done when the total volume allows it. The VWAP or Volume weighted averaged price is calculated by the following: $VWAP= (∑Volume *∑Price )/ ∑Volume$ This is comparable to the moving average strategy.When the VWAP is under current price it becomes interesting to buy. The other way around when it is above current price it becomes interesting to sell. What I'm trying to understand is :if for example a trader has Equity he wants to sell and uses the VWAP strategy trough a child order it will only sell the stocks when the VWAP is under current market Price. This until the VWAP rises and goes above the market price then it will stop filling the orders. Is my understanding of these concepts correct and are there possible alternatives to the VWAP strategy in Bloomberg? Thanks in advance! ## Answer by assylias (score 2, accepted) https://quant.stackexchange.com/a/46918 DMA: yes, you can send market/limit orders (and others if the market allows it) VWAP: orders will use an execution strategy that aims at giving you an execution price as close as possible to the VWAP for the period over which you trade. So if you enter a trade at 2pm and use a VWAP order with an end time of 4pm, your execution price should be close to the realised VWAP over that specific period. Your confusion seems to come because you think the VWAP order will match the VWAP for the day, which will only be the case if you trade over the day.
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