Published On: Sat, Sep 7th, 2013

Instinet Extends Liquidity Aggregation Technology to Japan VWAP Crossing Platforms

Joel Hurewitz, Head of Product Pacific Product Strategy Asia

Joel Hurewitz, Head of Product Pacific Product Strategy Asia

Instinet Incorporated announced September 5 the introduction of Nighthawk® VWAP, a fully customizable variant of its award-winning Nighthawk algorithm that provides aggregated access to the expanding universe of pre-market VWAP crosses in Japan. Beginning with Instinet’s launch of JapanCrossing™ in 2001 and more recently with the introduction of similar pools in Japan, VWAP crossing platforms have provided an indispensable source of block liquidity through their anonymous, low market impact models.

Including the two pre-market matches offered through JapanCrossing, there are now nine such crosses in the market. The VWAP module of Nighthawk, which executed over $3B (USD) of stock in Japan in Q2 2013, provides an efficient, intelligent way to get aggregated access to these crosses via a single destination.Clients may send orders to Nighthawk VWAP from 00:00 JST onward. Beginning at 08:19 the algorithm begins cycling through the nine crosses, the last of which runs at 08:55. Matched orders receive an “indicative fill” at the stock’s previous night closing price, and are re-priced to the full day VWAP shortly after the market close at 15:00. During the month of August, clients saw a cross ratio (e.g., the percentage of total order volume completed) of 28% using Nighthawk VWAP.

“Nighthawk VWAP, like all of Instinet’s award-winning liquidity products and technology solutions, is driven by the needs of our clients. Nighthawk’s sophisticated liquidity aggregation gained popularity region-wide because it simplifies an important yet complicated process. We’re excited to extend its functionality to access these new venues,” said Joel Hurewitz, Head of Product Asia-Pacific Product Strategy. Clients may access Instinet’s Nighthawk VWAP platform from Instinet’s Newport® EMS, through multiple third-party trading systems or via direct FIX connection. Nighthawk VWAP is the latest Asia-Pacific-specific product to be launched by Instinet, which has seen a significant enhancement of its capabilities in the region over the past nine months.

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