84_vwap_analysis

84 — VWAP Execution Analysis

Category: Execution Analysis (SIMULATE)

Compares your execution prices against Volume-Weighted Average Price (VWAP) to measure execution quality. Computes slippage, timing cost, and shows a time-bucketed visual breakdown.

How It Works

1. Load trade fills from CSV files (or generate sample data with --generate-sample).
2. Compute VWAP = Σ(price × qty) / Σ(qty).
3. Calculate slippage per trade and aggregate cost impact.
4. Bucket trades by time window to identify optimal execution times.
5. Optionally run live VWAP analysis using real-time market data.

Usage

python3 main.py --generate-sample                    # create sample CSVs
python3 main.py --buy-trades sample_buy.csv           # analyse buy fills
python3 main.py --buy-trades sample_buy.csv --sell-trades sample_sell.csv
python3 main.py --live --stock HK.00700               # live VWAP from market data

Key Concepts Demonstrated

• VWAP computation from fill data
• Slippage analysis (per-trade and aggregate)
• Time-bucketed execution quality breakdown
• ASCII bar chart rendering (no dependencies)
• Live market data integration

Configuration

Flag	Default	Description
--buy-trades	None	CSV file with buy fills
--sell-trades	None	CSV file with sell fills
--generate-sample	False	Create sample CSV files
--stock	HK.00700	Ticker for live mode
--live	False	Run live VWAP analysis