VWAP (Best Efforts) Order in IBKR Desktop

IBKR’s best-efforts VWAP algo seeks to achieve the Volume-Weighted Average price, calculated from the time you submit the order to the close of the market. The best-efforts VWAP algo is available for all US equities.

VWAP  orders are particularly valuable for institutional investors and traders executing larger positions who want to achieve an average execution price close to the market’s volume-weighted average, minimizing both market impact and price variance. They excel when benchmarking performance against the market’s volume profile is important, such as when portfolio managers need to demonstrate prudent execution to clients or when traders want to maintain consistent execution quality across multiple trading sessions without the appearance of manipulating prices. VWAP orders are also ideal for systematic trading strategies that require predictable execution around a widely-recognized benchmark price, especially in liquid markets with established volume patterns throughout the trading day.

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 VWAP from the list.

Once VWAP is selected the investor can choose which categories to fill in:

Max percentage values are the maximum percentage of ADV that the order can comprise and can be set between 0.01 and 50.

Start time and end time which allow the investor to establish their order’s active trading window by defining precise start and end times, giving them granular control over when the VWAP algorithm operates in the market. The designated end time functions as a hard stop, automatically terminating the order at the specified moment regardless of fill status—essential for strategies with strict timing requirements.

For situations requiring adaptive flexibility, the investor can activate the “Allow trading past end time” option located beneath the Start Time field. This intelligent feature enables the algorithm to continue working beyond the initial timeframe if market conditions warrant extended execution, preventing premature termination when opportunities remain available.

In addition, the algo can be set to avoid taking liquidity, which may help avoid liquidity-taker fees and could result in liquidity-adding rebates. By checking the Attempt to never take liquidity box, the algo is discouraged from hitting the bid or lifting the offer if possible. However, this may also result in greater deviations from the benchmark, and in partial fills, since the posted bid/offer may not always get hit as the price moves up/down. IBKR will use best efforts not to take liquidity when this box is checked, however, there will be times that it cannot be avoided.

They can also use “speed up when market approaches limit price” which will compensate for decreased fill rates due to the presences of the limit price.

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.

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