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

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: