05.02.2014
By Terry Flanagan

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

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.

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