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		chollida1 on May 24, 2013 \| parent \| context \| favorite \| on: Google Search Terms predict market movements > Does order(c.security, -c.order_size) account for transaction costs, borrowing costs and vwapping using a symbol specific profile based on volume and volatility? What does it mean to account for "vwapping"? I mean I know what VWAP is, I write trading algos for a living but I have no idea what your trying to ask here:)

resu on May 25, 2013 [–]

I meant do you assume you can buy or sell at the vwap price (+/- some slippage) or the closing price? Essentially using a vwap algo to enter or exit.

The more active (frequency and volume) your backtest is, the more inaccurate the results will be if you just use the closing price.

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