I’m looking at implementing VWAP orders and couldn’t find answers to these questions:
- What is the minimum window for a VWAP order? For example, can the order be spread out over ~1 minute instead of the provided examples showing a full trading day?
- Is there any way to test VWAP orders on a paper account? I’ve attempted to enter an order as follows:
order_data={
type: ‘market’,
time_in_force: ‘day’,
symbol: ‘AAPL’,
qty: 400,
side: ‘buy’,
position_intent: ‘buy_to_open’,
advanced_instructions: {
“algorithm”: “VWAP”,
“start_time”: “2026-02-25T18:55:00.000Z”,
“end_time”: “2026-02-25T19:55:00.000Z”,
“max_percentage”:“0.2”
}
};
I’ve attempted a few different start/end times and percentages on a paper account and get the following response each time:
{ code: 50010000, message: ‘failed to retrieve algo routing status’ }
Any help is greatly appreciated!
@Michael_Seeker The issue you are having is that advanced order types such as VWAP are not implemented in paper trading. That is what is causing the error you are seeing.
You may have already seen this, but there is a good description of how the WAP is implemented here in the documentation.
@Dan_Whitnable_Alpaca Got it, thanks for the quick answer! I read through the documentation a couple of times before posting, and it’s quite helpful + interesting. It does not appear to answer the first question I had around any limitation on how small of a window can be used.
The example shows a VWAP order with a 5 hour window. But is there any limit to how small of a window can be used and still be executed correctly? For example, would a market order with a 1 minute range be accepted and fully fill?
My expectation would be that the variability would increase as the window size decreases. So hopefully for a VWAP order spread over the course of a full trading day, the average fill would be quite close to the “vw” for the daily bar. And for a 1 minute VWAP order (if possible) the average fill could be materially different than the true “vw” for the corresponding 1 minute bar.