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An Adaptive Order Execution Strategy for VWAP Tracking

Patara Chavalit , Yodyium Tipsuwan, Ph.D.

18 Jan 2022


This paper presents an adaptive execution strategy for high frequency trading in the Stock Exchange of Thailand (SET). The objective of the strategy is to buy or sell stocks for a specific amount in SET to match the actual daily market VWAP (Volume-Weighted Average Price) as much as possible in a specified time interval for day trading. By sending required amounts of stocks to acquire or liquidate in a specific time interval, our adaptive execution algorithm will calculate a volume profile and a ratio between Limit Order (LO) and Market Order (MO) and send the order at each time step until the end of the time interval. The algorithm was tested in an order simulation system by using a historical data set of SET.