Chart 1: Distribution of Interval VWAP Costs Across Various Algorithms
Chart 2: Median Interval VWAP Cost by Volatility Condition and Algorithm
One full year of US transactions were included in the analysis, from Q4 2014 through Q3 2015. Limit orders were excluded along with orders without valid benchmark prices.
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.
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