05.02.2014

Factors Affecting VWAP in Futures: Spread Cost and Liquidity (Part 2 of 3)

05.02.2014
Terry Flanagan

Bid-Ask spread is a significant portion of trade cost, especially for aggressive orders (e.g. a large VWAP order which needs to finish within a shorter amount of time) — which tend to cross spread to take liquidity more often than passive orders.

Continue reading on The Book »

Related articles

Wordpress Management by Creating Digital.