medium · Market Microstructure market-impact

How should the VWAP algorithm adjust its execution rate for the remaining 5.5 hours to stay on track with the VWAP benchmark?

1. Increase the child-order execution rate across the remaining hours to compensate for the slower-than-expected pace recorded during the unexpectedly quiet first hour, since the algorithm now sits behind its intended volume-tracking schedule
2. The algorithm needs no adjustment whatsoever because a well-designed, adaptive VWAP strategy automatically rebalances its participation rate against realized intraday volume in real time without any manual intervention from the trading desk
3. Reduce the child-order rate in remaining hours, because the algorithm already executed 10% of 200,000 = 20,000 shares in hour 1 (double the original plan), and must reduce future participation to avoid over-executing relative to the total order size
4. Cancel the algorithm entirely and switch instead to a straightforward TWAP strategy, since TWAP schedules its child-order execution purely by elapsed clock time and is therefore entirely unaffected by unexpected swings in intraday market volume levels

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