Pricing guaranteed execution
I would think that the two main determinants would be how good your trading is and how much your competitions charges. The connect to R would be to use it to analyze historical records of trading. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of "The R Inferno" and "A Guide for the Unwilling S User")
R_help Help wrote:
Mark - Not really. Let me explain the setting a bit. You receive says a day order of 1mio shares of stock XYZ. You guarantee client execution price using some benchmark such as VWAP price of the day. In return, you'll charge them for markup to compensate your risk. Just wondering if anybody has put any thoughts on such a problem on how to come up with this markup. Thanks. On Mon, Dec 7, 2009 at 11:29 PM, <markleeds at verizon.net> wrote:
I doubt I can help but I'm not sure that I understand your question. Are you trying to simulate a strategy and buying and selling intraday ? On Dec 7, 2009, R_help Help <rhelpacc at gmail.com> wrote: Well thanks Mark. My order horizon is usually much longer. So I'm wondering if there's any framework for pricing such executions that people have put thoughts on so far? Thanks. On Mon, Dec 7, 2009 at 11:11 PM, <markleeds at verizon.net> wrote:
hi: you could assume the offer quote on a buy and the bid quote on a sale but even that's not guaranteed if you don't get there first. On Dec 7, 2009, R_help Help <rhelpacc at gmail.com> wrote: Hi, Sorry. This is probably not an R question. But I'd like to know if one were to guarantee execution. Is there any framework to price the markup? Thank you. rhelp
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