US VWAP Cross
Instinet's US VWAP (Volume Weighted Average Price) benchmark cross provides an anonymous, safe environment to trade illiquid and sensitive orders. With both full day and intraday crosses, the platform allows for block trading with minimal opportunity cost and information leakage.
- Participants trade anonymously within an agency environment.
- Block Liquidity
- Minimize information leakage by leveraging minimum fill parameters to interact only with counterparties of equal size.
- Minimal Opportunity Cost
- Participants receive confirmations on fills and partial fills within seconds of the match, minimizing the opportunity cost of participating.
- Portfolio Friendly
- Cash constraints on baskets make the VWAP Cross ideal for trading programs, particularly those comprised of illiquid names.
- Full Day VWAP Cross
- Orders are matched during any of the three pre-market matches — 8:35, 8:50 and 9:15 am ET. Fills are sent back immediately after each match. At approximately 4:10 pm ET, fills receive the consolidated full day VWAP and are printed.
- Last Hour VWAP Cross
- Orders are matched at 3:00 pm ET. Indicative fills are sent back after the match at the stock's NBBO midpoint. At approximately 4:10 pm ET, fills receive the VWAP for the last hour of trading (3:00 pm-4:00 pm) and are printed.