medium · Order Flow Analysis tape-reading-time-sales
Which of the following describes the most 'aggressive' institutional use of VWAP?
- An algorithm that 'sweeps' the offer side whenever the price drops below VWAP.
- Scaling into a position only when price is at the 2σ band to maximize statistical edge.
- Resting a 1,000-lot limit order at the VWAP and waiting to be filled.
- Using a 'Market-on-Open' (MOO) order to capture the earliest possible price regardless of VWAP.
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