Instinet Debuts Last-Hour VWAP Crossing

Client orders are matched at 3.00 PM under the Last Hour session, and receive an indicative fill from the national best bid and offer after. The orders are then re-priced to VWAP for the last hour at 4.10 PM.

"While algorithms and order slicing strategies can be an effective way for traders to achieve their benchmarks, they still incur some market impact cost," says Mark Govoni, head of sales and trading at Instinet. "Thanks to its zero-market impact model, our VWAP cross is increasingly being leveraged by clients for their benchmark trades. The platform has grown to become one of the market's largest block-trading platforms, and we're pleased to enhance the intra-day VWAP Cross with this Last Hour crossing session."