tapereader

The question you really need to ask if you're a day trader is not whether either of these is better but are there more algorithms using one versus the other. Since the market is simply an auction trying to locate the best value and location where the most people will trade... And since 80% of the trading activity (especially market making) in small time frames intraday are governed by algorithms... How are they determining this value? Bouncing off passive order flow when it's found? Volume? Here's a tip: Load up the daily VWAP and then plot bands at .5 standard deviations from .5 to 3 What do you see? Except for the distortions made by sudden information or random large orders, you will see just how important VWAP is - IF you're a day trader scalping small time frames.