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Non-Tech : Ashton Technology (ASTN)
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To: mst2000 who wrote (659)5/4/1999 11:17:00 PM
From: Sir Auric Goldfinger  Read Replies (3) of 4443
 
Humble questions: "One thing that has been very impressive about ATG's approach to operational status is their arrangement for B/D's to provide liquidity (at what price? they don't take risk for free)to the system by committing to match unmatched "dedicated" trades at the VWAP.

One of the major criticisms of Optimark's more publicized ATS has been that the match percentage has been so low (under 20%)leaving institutional users frustrated and less than enthusiastic. Apart from the simplicity of VWAP and its acceptance as a trading standard even in its current synthetic form (i.e., non-anonymous slicing of trades spread over the day), efforts to ensure liquidity from the get go appear very likely to ensure that "going live" in July will have an impact from the start."

Optimark are not fools, they include the founder on Instinet. And forget "academic studies" It's all bs until it's proven. ANY institution will try a system if they think it might save money and that is what the status is as we speak. Anybody ever hear of the Hiesenberg uncertainty principle? Well it applies here since if you get enough people trying to place orders to beat the VWAP, well then they effect the VWAP itself.

BTW, for the uninitiated, VWAP is not a new term, good institutions demand and good BD's deliver at or below the VWAP when buying and above it when selling (or selling short in our case). As I said earlier, anybody can hire a buy side broker for 1 cent and they deliver all day long all year long. Guess who pays above the VWAP? Surprise as Buffet would say, if your playing poker and after 30 minutes you don't know who the patsy is, well you are the patsy (retail pays).
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