M Frank - The systems mentioned in that article do not compete with eVWAP, they compete with the traditional brokers and market makers who trade stocks on a limit order and market order basis. More than anything, the article points up how traditional trading mechanisms are being challenged by innovation. As an ATS with a derivative (VWAP) pricing structure in complete anonymity, eVWAP offers a true alternative to the large block trader, but does not compete head to head with either the newer NASDAQ systems, or the ECNs.
As for the which VWAP is fairer, most statisticians believe that the larger the sample, the more homogenous (and thus accurate) the result. Take that together with the fact that the primary market is in many ways the most manipulative (e.g., NYSE specialists are more likely to be manipulative, e.g., frontrunning, in their incestuous circle of cronies, than the sample of "all markets" nationwide) and an argument can certainly be crafted with considerable persuasiveness that a consolidated VWAP from all markets is fairer to the trader.
Just my opinion of course.
MST |
