Question: First Question, can I only use the historical volume data to implement a VWAP Strategy? and How? Second is the following question: 1. Find the

First Question, can I only use the historical volume data to implement a VWAP Strategy? and How?

Second is the following question:

1.Find the current constituents of the S&P/TSX60.

2. Find 10 companies in the S&P/TSX60 that are not cross-listed with U.S. Exchanges.

3. Your task: describe how you would buy 1,000,000 shares of RBC on a single day

with market orders only using a VWAP strategy. Base your VWAP on the U.S.

volumes in the second week of August 2016. Thus download the trade data from

FactSet (available in the FLC), using the Time & Sales information.

4. For case AT1: How would your strategy change if you can submit limit orders?

What are the risks, what are the benefits?

5. Find the market shares for value traded for Canada?s equity trading venues (hint:

IIROC publishes statistics) for Q1, 2016.

First Question, can I only use the historical volume data to implement

Assignment 1: Basics and Fact-Finding 1. Find the current constituents of the S&P/TSX60. 2. Find 10 companies in the S&P/TSX60 that are not cross-listed with U.S. Exchanges. 3. Your task: describe how you would buy 1,000,000 shares of RBC on a single day with market orders only using a VWAP strategy. Base your VWAP on the U.S. volumes in the second week of August 2016. Thus download the trade data from FactSet (available in the FLC), using the Time & Sales information. 4. For case AT1: How would your strategy change if you can submit limit orders? What are the risks, what are the benefits? 5. Find the market shares for value traded for Canada's equity trading venues (hint: IIROC publishes statistics) for Q1, 2016. Due date: Oct 6, 2016, 9 a.m. 1 qattachments_0b40be46acaeac442863e80171fe8980a812b75e 08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016Page 8 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/ Page 12 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016 Page 37 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608 Page 44 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016 ODD Page 64 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12 Page 95 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016Page 126 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016Page 140 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/2016Page 148 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12 Page 149 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016 Page 194 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016Page 279 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/1 Page 289 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016Page 353 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/2016 Page 357 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016 Page 365 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/2016 Page 381 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/20160 Page 390 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/201608/12/ Page 418 qattachments_0b40be46acaeac442863e80171fe8980a812b75e x08/12/201608/12/201608/12/201608/12/201608/12/2016

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