Offsetting a VWAP Sell Order with a VWAP Buy Order

Summary

The document asks whether placing a VWAP buy order against an existing VWAP sell order can reduce the amount sold while preserving a benchmark price closer to theoretical VWAP. It contrasts this idea with cancelling the sell order and submitting a replacement, which the author says could produce a substantially different VWAP price.

The text frames a potential execution question rather than answering it. It gives no calculations, market data, trading procedure, or evidence that offsetting orders improves the achieved price. The practical effect would depend on how the venue or broker handles opposing orders, fills, and VWAP calculations, details that are not provided. Readers can take away the issue to investigate, but cannot infer from this document whether the proposed offset is effective or appropriate.

Key ideas

• The document asks whether a VWAP buy can offset an existing VWAP sell.
• Cancelling and replacing a VWAP order may lead to a different benchmark price.
• No method or evidence is supplied to evaluate the proposed offsetting approach.

Tags

# Can you reduce the amount of VWAP sale by initiating a VWAP buy against it?


# Can you reduce the amount of VWAP sale by initiating a VWAP buy against it?












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)?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.