Global trading

(1) Did you achieve VWAP?

BTA: yes
MGQ:

(2) Are your results for the 2 trading sessions similar?

(3) If yes, provide analysis on why they are similar; If not, provide a discussion about why they are different.

(4) What are the risks associated with a VWAP strategy?

Gameable
Opportunity cost
Market impact cost

(5) Can you recommend how you could improve your execution quality in future if you were to run a similar session again. BTA
MQG
VOLUME TRADED P OF TRADING P OF TRADING
10-11
6,266
13%
12,600
25%
11-12 7,465
15%
7,512
15%
12-13 8,208
16%
5,543
11%
13-14 7,922
16%
4,872
10%
14-15 8,204
16%
7,030
14%
15-16 11,935
24%
12,442
25%

50,000 50,000 Total volumn Traded
50000

51271 Total vlaue Traded
111796.00

1591107.01 Average Price
2.2349

30.8994 VWAP
2.2359

31.0333 VWAP(b)
2.2366

30.9160 Variance

MQG, 120 trades were placed by us, only 8 trades were larger than 1000 shares or 7% of our total trades
BTA, 37 trades were placed by us, 22 trades were larger than 1000 shares or 59% of our total trades
BTA - 40% of the total day’s trades were made at the price of 2.25, whilst 65% of our trades were performed at the price of 2.24 vs 32% of the entire trades for the day at that price.
I think this explains why the BTA VWAP was higher than us - we were making the majority of our trades at a price lower than what most of the trades were for that day.
We have to take a different approach with this because it shows our MQG results were better than BTA - see the variance. I think this is because we had 120 trades in much smaller parcels vs 37 trades in BTA. So therefore we were able to spread our risk more across the different price