Codedwap

# Price adjustment (anti-gaming) if price_trend == "adverse": aggression_boost = 1.2 else: aggression_boost = 0.9

slice_qty = baseline * urgency_factor * aggression_boost return min(slice_qty, max_slice_size) codedwap

You can adapt the sections based on the actual context (academic, internal project, or client-facing). Report ID: CDW-2026-04-01 Date: April 14, 2026 Author: [Your Name/Team Name] Version: 1.0 1. Executive Summary CodeDWAP is a fully automated implementation of the Dynamic Weighted Average Price (DWAP) execution algorithm. It was developed to minimize market impact while achieving a target participation rate across multiple trading venues. The system dynamically adjusts order slice sizes based on real-time volume profiles, price movements, and urgency signals. It was developed to minimize market impact while

# Urgency adjustment urgency_factor = (remaining_qty / remaining_time) / (expected_participation * average_volume) urgency_factor = clamp(urgency_factor, 0.5, 2.0) codedwap