Algorithmic VWAP Trading Implementation

I implemented an automated trading strategy driven off Volume Weighted Average Price (VWAP). It is based on research completed and published by Andrew Aziz and Carlo Zarattini in November of 2023 (document included in the github link below). However, it uses options to go long and short (versus the underlying). The code and related research paper can be found in my github repository.

The system uses the Interactive Brokers platform and their associated REST API.

The results of running the trading strategy using the SPY S&P ETF on 8/29, 8/30 and 9/3 are summarized in the image below but can be found in a spreadsheet in the github repository referenced above.