Volume-Weighted Average Price (VWAP) - Coming Soon!

There is an additional charge of $0.005 per executed share for "Best Efforts" VWAP orders and $0.01 per executed share for "Guaranteed" VWAP orders.*

Volume-Weighted Average Price (VWAP) is a new order type that can be selected from the Type field in the order entry panel. VWAP is calculated by taking the sum of every transaction in a stock (price x number of shares for each transaction) and dividing that sum by the total number of shares traded. A VWAP is computed during a specific time period (i.e. from the open of the market to the market close) and is calculated by volume weighting all transactions during this time period.

The minimum quantity for Guaranteed VWAP orders is 1,000 shares and the minimum length of time is one hour. Full-Day Session orders must be submitted before the market open. The maximum number of shares that can be guaranteed is typically 20% to 25% of the Average Daily Volume (ADV) in a stock, or 20% to 25% of the Average Interval Volume (AIV) if the order is for a period shorter than a full day.

VWAP orders below 1,000 shares can only be entered on a Best Efforts basis, which utilizes a tracking algorithm to achieve pricing that closely replicates the VWAP. The minimum time period for this order type is five minutes.

VWAP orders can be canceled, with the exception of Listed (NYSE or AMEX) short sales. If an order is cancelled, you will receive the VWAP for the interval for which the order was active, or the average price based upon aggregate execution prices for the portion of the order executed. You have the right to cancel any unexecuted portion of an accepted order before the end of the interval. If cancelled, the unexecuted portion will be returned to you.

Execution reports based on a guaranteed VWAP Price are generated by an exchange-grade calculation engine with a primary market calculation for all listed securities and a consolidated market calculation for all NASDAQ securities. For intervals that end at the close and which are not cancelled, the calculation is finalized at 4:00pm EST for NASDAQ securities, and is finalized at 4:10pm EST for listed securities but excludes extended hour trades.

MB Trading accepts short sales for VWAP orders with no restrictions for NASDAQ securities. For listed securities, the SEC has exempted the short sale tick requirements under Exchange Act Rule 10a-1 for full-day short sale orders that cannot be cancelled. The exemption covers the following stocks:

• Any listed stock component of the S&P 500 Index
• Any listed stock whose issuer reflects at least $150 million in market capitalization and $1 million in average daily share volume
• Any listed stock that is 5% or less of the weighting of a 20 stock or greater basket

Additionally, short sale orders may not be for greater than 10% of the average volume for the time frame of the order.

VWAP is not available for OTC BBs, Pink Sheets, Futures, Options, Warrants, or Bonds. The list of available stocks is updated on a daily basis. Please contact MB Trading to verify if the security is on the list.

In the case of anomalous trading conditions, you will receive the average price based upon aggregate execution prices. Anomalous trading conditions are defined as:

• Trading Halts: If the market as a whole is halted, the balance of all orders are cancelled and you will receive the average price based upon aggregate execution prices for the portions of the orders executed. If just a stock halts during the trading day a Guaranteed VWAP cannot be completed. The order will be cancelled but can be continued on a Best Efforts basis.
• Delayed Opening: Orders will be cancelled automatically if a security has not opened on its primary market or on NASDAQ and has less than 2 hours remaining in its interval.
• Catastrophe or System Failure: We reserve the right to cancel the entire or part of any accepted orders.

* Clients with the "per trade" commissions plan (Plan B) will not be charged the regular ECN routing fees on VWAP orders.