Instinet has announced the introduction of Nighthawk VWAP, a customisable variant of its Nighthawk algorithm. It will provide access to pre-market VWAP crosses in Japan that provide users with block liquidity.
Including the two pre-market matches offered through JapanCrossing, there are now nine such crosses in the market. The VWAP module of Nighthawk, which executed over US$3 billion of stock in Japan in Q2/2013, provides a way to get aggregated access to these crosses.
Users can send orders to Nighthawk VWAP from 00:00 JST onward. Beginning at 08:19, the algorithm begins cycling through the nine crosses, the last of which runs at 08:55. Matched orders receive an indicative fill at the stock’s previous night closing price, and are re-priced to the full day VWAP shortly after the market close at 15:00.
During the month of August, clients saw a cross ratio (the percentage of total order volume completed) of 28% using Nighthawk VWAP.
Users access Instinet’s Nighthawk VWAP platform from Instinet’s Newport EMS, through multiple third-party trading systems or via direct FIX connection.