medium · Order Flow Analysis footprint-delta
An institution needs to accumulate 5000 contracts of Corn (ZC) using a VWAP algorithm. The session VWAP is currently 370.00 and the market is trading at 372.00 with Δ_cum at +3500.
What is the most likely action for the algorithm?
- Slow down or pause buying to wait for lower prices
- Increase buying size as momentum is positive
- Aggressively sweep the offer to complete the order
- Switch to an Iceberg order at 372.00
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