Building a 27x-ADV Position in a Junior Market Name

No - not as proposed. Work through the conflicts rather than the convenience.

• Capacity. The firm would be principal, not agent, on a client order. The pension mandate forbids principal trades without prior written consent, and none exists. That alone stops the trade.
• Price. J$10.60 is 1.9% above the best offer and 7.6% above the last sale. There is no competitive process setting that price; it is set by the party that benefits from it. Annexing the firm's J$7.10 cost to a J$10.60 exit produces a 49% gain on inventory - precisely the incentive a compliance officer must discount.
• Consent quality. 'Price is secondary' is a statement about urgency, not informed consent to a specific price, a specific counterparty, or a disclosed mark-up. The client has not been told the firm is the seller.
• It does not even solve the problem. 150,000 shares is half the order; the remaining 150,000 still faces the same thin book, so the market-impact argument is only half true.
• Price discovery. A single off-market print 20 cents above the offer becomes the reference price for every holder of a 12%-float stock.

The defensible answer is to decline the cross and work the order as agent, or to offer stock at the prevailing best offer with full disclosure and written consent - for the size the firm can genuinely deliver.

Write the strategy down before the first order goes in, and benchmark it to the arrival price.

• Participation cap. Work no more than 20–25% of anticipated daily volume (roughly 2,000–2,700 shares a day on the recent tape), which means the realistic build is many weeks, not four sessions. Tell the client this in writing, with the arithmetic.
• Benchmark. Use arrival price (J$9.70–J$10.40) and report average fill against it, plus a VWAP benchmark, so the client can judge execution.
• Order handling. Work patient limit orders inside the spread; do not post size that signals the full 300,000. Solicit liquidity from known holders and other dealers rather than lifting the offer repeatedly.
• Prop desk restriction. Bar the proprietary account from trading the name until the client order is complete, or segregate the desks, to avoid any appearance of trading ahead.
• Escalation of the instruction. If the client insists on completion within four sessions, explain that the likely cost is a double-digit percentage move and obtain a documented instruction accepting that outcome - a decision the client makes with full information, not one the firm makes for them.
• Partial fills. Confirm in writing whether partial execution is acceptable and how the residual is handled.

Disclosure before the first fill: the firm acts as agent; it holds 150,000 shares in inventory and will not sell them to the account without separate written consent; the expected duration and market impact, expressed in shares per day and an estimated cost range; how the firm is compensated; and that no price is guaranteed.

Records to keep:

• The client's instruction verbatim, with timestamp and channel.
• The order ticket and its time of receipt, distinct from the time of first execution.
• The pre-trade analysis: ADV, float, spread, arrival price, chosen participation rate.
• The benchmark selected and the reason for it.
• An execution log showing every fill, venue and price, with deviations from the plan explained.
• Any client instruction to accelerate, and the client's acknowledgement of the cost.
• The conflict disclosure and the consent (or refusal) relating to principal trades.
• The compliance review and its outcome.

The test a reviewer will apply is whether a stranger reading the file could see that the client's interest, not the inventory gain, drove the sequence of decisions. If the file only shows the fills and not the reasoning, it fails that test even if the prices were good.