I still am an abject failure at trading but...Got bored staring at a wall and tried this and got it working.The vwap idea is a good one and it works but you have to put protections in cos if the price/vwap moves (bit hazy on how I did this but I managed it to some degree) massively it can hurt you by more than 50% more liability per runner (I wasn't 100% successful at mitigating but that could have been chemo brain so I'll have a look when I have the cycles )
I managed to write the thing in python-not perfect but very satisfying. Be great to see Total Liability per selection as an enhancement sometime
PS: Friggin favs murdering me today with this but love seeing code work so best losing day
Hope everyone is well and green(edit: as much as possible
). 
