Pyvorin for Algorithmic Execution

TWAP and VWAP

Time-weighted and volume-weighted average price algorithms slice large orders. The slicing logic compiles to tight loops.

def vwap_slice(quantity, schedule):
    slices = []
    remaining = quantity
    for pct in schedule:
        slice_qty = int(quantity * pct)
        slices.append(slice_qty)
        remaining -= slice_qty
    return slices

Implementation Shortfall

Adaptive algorithms adjust urgency based on market conditions. Compile the adaptive logic for sub-millisecond rebalancing.

Market Impact Modelling

Predict price impact before execution with compiled regression models.