VWAPSlipBps = sgn * (AvgFillPrice - VWAP) / VWAP * 10000
where sgn = +1 for buy and -1 for sell
VWAP Slip in Bps parameters
Parameter |
Description |
Display |
Opens sub-window to set parameters • Color = Line color. • Weight = Line thickness. • Display = Line style: line or histogram. • Text color = Color of order ID text. |
MarkIt |
Opens Specify Conditions window. |
GW Account ID |
Account identifier. |
Place Order GUID |
Order identifier. |