Time Variant Percentage of Volume for Desktop

The Time Variant Percentage of Volume Algo is available for U.S. stocks and futures as well as some select non-US stocks and futures. This IB Algo is useful for larger size orders when you wish to minimize market impact on the price of the security. The order slices the overall order into smaller pieces to be submitted by a user-defined rate that varies over the time-period selected.

It is important to know the average daily volume or ADV to understand the participation rate you want to use for the order. While the actual daily rate on the day or days that the order is active may differ from the ADV rate due to current volumes or conditions, the ADV is a good reference point and reflects the average trading volume over the past 90 days. The Average Volume data column can easily be added to the Portfolio tab or a Watchlist by clicking on the gear in the upper right-hand corner of the screen and selecting “Average Volume” from the High/Low/Volume/History section in the Available Columns area.

In Desktop the investor creates an order ticket then clicks on “Advanced” in the lower right-hand corner to bring up the Advanced Order Ticket window.

Once the Advanced Order Ticket window is up the investor can adjust the quantity. In the Description panel they choose between market or limit and price if applicable, and then click on the Destination drop down and scroll to IBALGO and underneath choose Day for Time-in-Force.

The investor then scrolls down to the IBKR Algorithmic Trading section and selects Time Variant Percentage of Volume from the list.

Now set the Initial Target Percentage at Start Time and Target Percentage at end time.

You can use any value from .01% to 50%.

Setting a lower number in the beginning and a higher number at the end allows the order to be more aggressive toward the end or vice versa if you use a higher number for the initial rate.

Next the investor chooses the Start time and End Time, if left blank the start time will default to the start of market trading (or current time when submitted during market hours).

The end time will default to the end of market trading.

By checking the box next to the categories, the investor can attempt to never take liquidity which discourages the algo from hitting the bid or lifting the offer and/or match block trading which will allow the algo to trade against large block orders.

Finally, for sophisticated price-contingent execution, investors can leverage the powerful “Trade when price is more aggressive than” parameter. This dynamic condition continuously evaluates real-time market conditions against the investors specified threshold—comparing against the bid price for buy orders and the ask price for sell orders. Click on the box and enter a value in the space.

It is important to note that the algorithm is targeting the percentage of daily volume and not the percentage of the overall order quantity so the order may be filled earlier than the end time or not filled by the end time depending on the daily volume trading.

 For example, if the investor submits an order for 50,000 shares over a 2-hour period and selects a starting rate of 1% and end rate of 4% and 250,000 shares trade every 15. It would look like this chart:

If the overall quantity was 10,000 with the same parameters, it would be filled within 45 minutes and if the overall quantity was 100,000 the order would only be partially executed leaving 50,000 shares unfilled.

Once they make their selection, they can either preview the order or click Submit.