Index fund in illiquid market?

So, let's say there is a blue-chip index for an illiquid market, which consists of components that look liquid on small trades, but big trades (over 100.000 USD) immediately distort the prices. Let's say you are establishing an index fund aka ETF with at least 2M AUM for start, and there is an option to buy from the market which will eventually distort the quotes, or to buy "from hands" - nego trade on a separate platform. This way the price won't be the same as the quoted price, it will either be much cheaper or much more expensive with a spread of 20-40%... 

Any thoughts?

 

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