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?
- VWAP participation,
- Dynamic Volumn paritcipation,
- O/C Auction,
- P shortfall( balance impact with OC).
- seek liquidity, v.s. minimize info leak
- aggregate liquidity, anti-gaming + info leak minimization logic
- market rule (HK, JAPAN)
- liquidity through pair