Instinet’s US VWAP (Volume Weighted Average Price) benchmark cross provides an anonymous, safe environment to trade illiquid and sensitive orders. Offering a 9:00 AM ET crossing session that prices at full-day VWAP, the platform allows for block trading with minimal opportunity cost and information leakage.
Features
Anonymity
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 a single pre-market match — at 9:00 am ET. Fills are sent back immediately after the match. After each stock’s official closing price is disseminated by the primary listing exchange, fills receive the consolidated full day VWAP and are printed.
Overview
| Available securities | Match Times | Pricing | Settlement |
| All NMS Securities (NYSE, Nasdaq, ARCA, BATS listed stocks and ETFs.) | Full Day VWAP: 9:00 am ET | Consolidated full day VWAP priced just after the stock’s official closing trade | T+2 by Instinet, LLC |