hard · Volume Profile Analysis
An institutional execution algorithm is tasked with buying 5,000 contracts of Crude Oil (CL). The algorithm releases orders such that it always constitutes exactly 5% of the live transacted volume.
Which algorithm and footprint will this produce?
- Implementation Shortfall (IS); a front-loaded footprint at the session open
- Percentage of Volume (POV); a footprint that scales with market activity
- Volume-Weighted Average Price (VWAP); a footprint matching the historical U-curve
- Time-Weighted Average Price (TWAP); an even distribution across every 5-minute bar
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