The increasing need for differentiation amongst brokers led Vhayu to create a VWAP engine capable of storing and analyzing vast amounts of real-time and historical market data. Our sell-side customers told us that simple end-of-day VWAP was no longer satisfactory in reflecting performance with so many new trading algorithms being marketed to institutional clients. Fast technology is required to calculate rapid VWAP measurements to suit different trading preferences. For instance, you may want a real-time picture of the market by tracking the VWAP updated every second over a rolling 30 minute interval for your preferred basket of stocks or portfolio. The need to track VWAP at completely customizable intervals and trading durations has become a necessity to compete. VWAPs on all symbols also need to be published to multiple simultaneous applications or returned in response to a query for true enterprise deployment.

The equities trading division of a top tier global investment bank, is using Vhayu Velocity™ to calculate customized Volume Weighted Average Prices (VWAP) to achieve better executions by matching the published industry standard. Vhayu was chosen after an exhaustive search for a technology partner that could meet their requirements.

The VWAP trade in this instance is defined as: Trade now for future settlement. The settlement value is the VWAP between the trade time and the settlement time (Time Interval VWAP). In order to execute this strategy this customer needed a service that can scale and can be subscribed by thousands of users simultaneously and will stream periodic updates to the Time Interval VWAP from a specified start time to a specified end time with hundreds of simultaneous users subscribing to over 10,000 symbols at any given point in time. The VWAPs reported by Vhayu must reconcile with (be equal to) the so-called industry standard Bloomberg VWAP. In order to exactly match the Bloomberg VWAP, Vhayu must have the ability to exclude trades based on trading phase/sales conditions. The data source used in providing this service is the Reuters IDN.

Vhayu's VWAP engine instantaneously computes the VWAP on a user-defined number of trades before and after the trade in question and can use any of the tick values: last, bid, ask. It can even allow entry of the broker's execution price and calculate the relative performance in any currency. Since Vhayu's patented technology allows the computation of VWAP “in process”, it provides instantaneous feedback, which can be used to make split-second intelligent decisions.

• Captures every tick of real-time data from multiple sources
• Store years 20 years worth of historical quote and trade data
• Ability to customize the Time Interval VWAP depending on user defined data conditions (i.e.; exchange time stamp, trading system time stamp, error exceptions, block trade exceptions, etc.)
• Filters out specified trades from VWAP calculation (such as block trades, off-exchange trades, auction trades)
• Publishes results out to trading and market data applications in milliseconds
• 24x7 operation to support global trading