Imported from previous forum
[ original email was from Thomas Steinthal - tsteinthal@dlj.com ]
How would one send an IOI that you want to trade at the VWAP, rather than at a specific price? For example, pre-market open, we want to notify our clients that we want to buy 100,000 DIS at today’s VWAP…
option 1:
send a obviously bogus price, and put VWAP in the comment field
option 2:
send a projected price, and put VWAP in the comment field
option 3:
add an additional qualifier for VWAP, and don’t require a price
option 4:
add an additional qualifier for VWAP, and enter a bogus price
option 5:
change price to be an alphanumeric field, and allow VWAP as a value
Any thoughts?