Instinet strategy pool

February 6, 2010

Instinet provides an intersting strategy for openning closing auction, similar to TOCOM auction and LBMA AM PM price setting?

Benchmark:

  • VWAP participation,
  • Dynamic Volumn paritcipation,
  • O/C Auction,
  • P shortfall( balance impact with OC).

Tactic:

  • seek liquidity, v.s. minimize info leak
  • aggregate liquidity, anti-gaming + info leak minimization logic
  • market rule (HK, JAPAN)
  • liquidity through pair
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