How to calculate trades by time

diegotfcastro 2021.06.22 14:27

Hey guys,

i want some help to detect the robot that operates VWAP or TWAP!

I saw that a simple way would be to analyze how many trades per second/minute the stock are having.

So I would need the information on the amount of trades and also an element that calculates something like speed.

10 trades per second

20 trades per second.

If we notice that it was above average, for example. 100 trades per second means there is a robot doing TWAP or VWAP.

Could you help me?

Thanks