05.12.2014
By Terry Flanagan

Factors Affecting VWAP in Futures: Volatility and Pricing Risk (Part 3 of 3)

When traders have a large size of futures contracts to trade, liquidity become more precious and rapid market price movement can turn against you. Market volatility plays an important role in determining how fast the order should be executed to reduce price slippage against arrival price (the mid quote at the order entry), which measures the potential pricing risk faced by traders.

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