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Non-Tech : Ashton Technology (ASTN) -- Ignore unavailable to you. Want to Upgrade?

To: Zeev Hed who wrote (834)	5/7/1999 9:05:00 PM
From: wily	Read Replies (2) \| Respond to of 4443

>>The final VWAP at which the trades are confirmed done, will be disseminated after the close of the trading day<< Zeev, The way I understand it is an institution "commits" before the open and is confirmed on a first come first served basis BEFORE the stock trades that day. The transaction is sealed, but the price is applied at the END of the day according to the days' VWAP. >>what happens when there are "imbalances".<< This seems to me to be the pivotal point. Institutions that are bailing in a panic I am sure would LOVE to get the VWAP, whereas the ones buying are either waiting for the stock to go lower or are consistently getting it at or below the bid. If you average it out over months, including rising markets and falling markets, it will look like VWAP is a good deal because paying up on the ask balances out against getting pinched on the bid. I believe this may be a flaw in the PHLX study. My guess is this is why Optimark only matches 20% of orders. I wonder if there are any studies on this that analyze how institutions trade in various phases of the market. wily