Agency broker Instinet has enhanced the intra-day VWAP Crossing session in its Crossing alternative trading system (ATS) in the US.
The new ‘Last Hour’ match provides users with execution prices at the consolidated interval VWAP from 3:00-4:00 pm US eastern time (including closing auction) and complements Instinet’s full day VWAP Cross.
Instinet said the service allows both institutions and broker-dealers to efficiently trade blocks during the heaviest volume period of the day “and is ideally suited to traders hoping to lock in their benchmark without the possibility of market impact”.
With the Last Hour VWAP Cross, client orders are matched at 3:00 pm, with fills receiving an ‘indicative fill’ at the current NBBO directly thereafter. After the market’s close, indicative fills are re-priced to the consolidated VWAP for the last hour of the trading day – which accounts for roughly 30% of the market’s volume – at approximately 4:10 pm.
“While algorithms and order slicing strategies can be an effective way for traders to achieve their benchmarks, they still incur some market impact cost,” said Mark Govoni, head of sales and trading. “Thanks to its zero-market impact model, our VWAP Cross is increasingly being leveraged by clients for their benchmark trades. The platform has grown to become one of the market’s largest block trading platforms, and we’re pleased to enhance the intra-day VWAP Cross with this Last Hour crossing session.”
In April 2014, VWAP Cross’ average daily volume was 10,545,334 shares (double counted).
The VWAP Cross is accessible from Instinet’s Newport execution management system, third-party trading systems or via direct FIX connection.