Today I didn't trade. I was watching instead. Like the cheetah stalking pray. But there was no pray in my neck of the woods. Just lots of ants running around instead of anything juicy to dig into ;)
So I was surfin and readin other peoples stuff and stumbled across this site called Hard Right Edge. There were some good tips there. Reminded me of my cash equities trading days. On a good day I'd be given an order to trade "VWAP" from the point in time order was received until close (sometimes ex-close). Meaning I had to beat the average price of transactions. Those kind of trades are what I adored. You (trader, bank) guarantee to give the client VWAP and basically gamble on direction of market and that you can outguess market.
Sometimes during the session news would break and loads of volume would be created changing VWAP very fast. Say you were trading 200k shares of something worth 44.5, VWAP 44.5 and then news breaks 2.5 hours before closing and all the volume goes though at 44.1. If you're a seller you hit the jackpot cos you tend to have sold the biggest chunk by that time, if you're buyer you feel like hanging yourself when you tell the desk head. :)
Of course news is scheduled mostly so you can factor in that there will be volume coming in. Also closing had 20% of daily volume so you needed to keep chips (shs) in "reserve". I really miss that. Most banks don't even have the balls or risk appetite to offer such services anymore. Maybe afraid hedgies screw them or god knows what. [Edit: On second thoughts the guys using those trading algorithms at the large banks probably got an edge over manual VWAP traders like myself at the time? I was at a smallish risk averse bank so not sure...]
But if you get a decent size order to trade VWAP I always found it nearly impossible to screw it up - especially if you traded both sides of market actively and literally "felt" the resistance and support. Made money for the bank more times than not. Sadly one colleague in particular didn't (he was always leaning on the idea of time slicing orders, which is a big gamble) and of course cost a hefty sum compared to commission earned on that trade. Desk head got cold feet and that was the end of that fun. :(
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