Instinet extends VWAP cross to HK and Europe

2 March 2012

The electronic broker and trading platform provider, Instinet, has expanded its volume weighted average price (VWAP) pre-market crossing service into Europe and Hong Kong. The ability to access dark pools of liquidity without alerting the market is a key requirement for traders and Instinet says it wants to extend this capability to European and Hong Kong-based market participants on its platform, joining its existing block VWAP Cross products in the US, Canada, Japan and Korea.

With Instinet’s VWAP Crosses, orders are matched during one or more scheduled pre-market crosses. Matched orders will receive an ‘indicative fill’ at the stock’s previous night closing price. Shortly after the market’s close, the fills are re-priced to the day’s VWAP and reported to the market.

The Hong Kong platform, operated by Instinet Pacific Limited, will become Instinet’s seventh Asia-Pacific liquidity pool. The European VWAP Cross, operated by Instinet Europe Limited, will use the firm’s proprietary pan-European best bid and offer (EBBO) data feed, which is currently being integrated into Instinet’s BlockMatch multilateral trading facility (MTF).

Commenting on the announcements, Frank Freitas, chief operating officer and global head of product strategy at Instinet, said that he thinks: “Our existing VWAP Crosses have become an indispensable tool and liquidity source for benchmark-driven traders. We are pleased to extend our technology and processes to satisfy the client demand for block VWAP liquidity in Europe and Hong Kong.”

By Neil Ainger

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