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To: mst2000 who wrote (3685)	3/26/2001 7:47:20 AM
From: Rob W	Respond to of 4443

I think that the basic point was just that if you compare eVWAP and it underlying methodology and process to derive an average to basic time slicing and its methodology and process to derive an average, you can make certain observations. For instance, if I trade 5000 shares at the market every every 30 minutes, at the end of the trading day, I will have made 13 trades and have traded 65,000 shares. I can sum the prices paid at each interval and divide that total by 65,000. This model is so basic, I don't know if it has any real life applicability. Assuming there are some systems that simply chop a market order up and execute it over the day, then the average derived from eVWAP should be tough to beat, if for no other reason, due to the fact that its average is derived from a different set of prices. I think there are other reasons to think it would be tough to beat, but my focus was just on one tiny element of the system. Shifting gears a bit, it did seem like one advantage of time slicing is at the end of the day, the order would be executed. eVWAP seems to give a lot of guarantees with respect to the price, but it cannot guarantee a match, although it looks like liquidity is building. Anyway, to me it would seem like eVWAP and time slicing vwap would be two useful tools.

To: mst2000 who wrote (3685)	3/26/2001 8:50:44 AM
From: LPS5	Read Replies (1) \| Respond to of 4443

why wouldn't a trader, knowing that it has a 400,000 share order...see if it could not succeed in filling some percentage of it at the VWAP price... and The only thing you "wait on" is the price, not the fill. Waiting on any unfinished part of an order price presents risk. Because of sellside desk's desire for both flexibility and to compete for optimal pricing (thus, to be seen working for their clients), for most (and in a liquid market), merely taking what a machine gives from reading the transactions in the market as per an algorithm them is not the best way to go. If, in the information flow of a stock, he/she becomes aware of something in the market - a large block being put together or distributed, or maybe another block looking for a natural match - with a 1 minute phone call, that news can be reacted to and present a fill price far beyond the scope of VWAP, RPM, or any other measures. Such searches for liquidity can, and often do, present opportunities for under/over market purchases/sales. In the above situation, a VWAP price for part of the order would hurt the firms' price performance, not help it. And that performance sets the track record for which decisions on immense, extremely lucrative transactions such as transitions and blind bids are made. But, when block flow is thin, VWAPing may be the way to go. It seems like a no lose proposition Again: seems is the operant word. The observation that volumes are rising - I think it was Jeff - is, IMO, as much a sign of liquidity drying up in the market (where, as previously mentioned, VWAP finds a large degree of its' utility) as it is of growing popularity. With more volume and renewed vigor in the markets, at whatever point things start to turn around, blocks will come back to the market and the chance - as described above - for improved pricing (markups/markdowns) will become more plentiful. And that may, while not by any means certain, result in less volume going through eVWAP. Then again...over the years, haircuts on above/below market block transactions have been getting tighter and tighter as a result of increased competition and risk appetites...so, over the next decade one might see VWAP become more popular as a method of trading even those more liquid issues with substantial block flow. Time and flexibility, however, will always be considerations for both the buyside client and the sellside trader. LPS5