The US subsidiary of Instinet, the agency brokerage services and technology provider, has added an intraday match to its volume weighted average price (VWAP) cross to reduce the cost of executing illiquid and sensitive orders.
The intraday component provides both institutions and broker-dealers with a block-focused crossing venue that is intended to help trading less liquid stocks.
With the intraday VWAP cross, client orders are matched at 11.00 Eastern Time (ET), with fills receiving an ”indicative fill' at the current NBBO. After the market's close, the fills are re-priced to the day's consolidated interval (11.00-16.00) VWAP and executed at approximately 16.10.
Prior to this orders could only be matched during any of three pre-market matches – 08.15, 08.35 and 08.50 ET. Fills were then sent back immediately after each match and received the consolidated full-day VWAP at 16.10 as with the intraday model.
Clients can access the intraday VWAP cross from Instinet's Newport 3 execution management system or Instinet Trading Portal, through multiple third-party trading systems or via direct FIX connection.
“While algorithms and order slicing strategies can be an effective way for clients to achieve their benchmarks, they still come with some market impact cost,” said Jonathan Kellner, president of the Americas at Instinet. “Given the current low volatility, more and more institutions have instead leveraged our anonymous, zero market impact VWAP Cross for their benchmark trades. The platform has grown to become the largest benchmark cross on the Street and we're happy to enhance it with this intraday component.”
In April 2011, Instinet reported its full-day VWAP cross averaged over 3,000 stocks entered each day, while the intraday cross averaged over 1,600 entered daily.