March 01, 2012

Agency broker Instinet announced the extension of its volume-weighted average price trading system to Europe and Hong Kong, a move the firm said will enable traders in both regions to tap low-impact, block liquidity.

Instinet, which operates numerous dark pools around the world, said its VWAP Cross locks in and matches orders to buy or sell securities before the market opens. It then calculates a security's VWAP using market data feeds from lit markets. The platform has been deployed for years in the U.S., and is also being used in Canada, Japan and Korea.

"The ability to source block liquidity remains a primary goal of most institutions trading the Asia-Pacific region," said Glenn Lesko, chief executive of Instinet's Asia segment. "The Hong Kong VWAP Cross adds another source of liquidity at our most popular trading benchmark."

The firm was driven to expand VWAP Cross into Hong Kong and Europe after discussions with clients revealed strong demand for the platform in both places, according to Jonathan Kellner, president of Instinet's Americas division.

"We've been doing the U.S. cross for years, we introduced in Canada about a year ago, Japan several years, and we've had a Korea cross for several years," Kellner said. "We don't want to launch a cross that doesn't have meaningful volume. If the demand is there and we know we're going to have liquidity, then we'll launch it."

The firm's U.S. VWAP Cross has grown to become the third-largest source of block liquidity in the world, according to data compiled by Rosenblatt Securities. As of January, its average trade size was 1,092 shares.

ABOUT THE AUTHOR
As the Senior Editor of Advanced Trading, Justin Grant plays a key role in steering the magazine's coverage of the latest issues affecting the buy-side trading community. Since joining Advanced ...