Order Types and Algos (zz from ib)

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Order Types and Algos

Trader Workstation supports over 40 order types and algos that can help limit risk, speed execution, provide price improvement, allow privacy, time the market and simplify the trading process through Advanced Trading functions.

The table below lists all of our order types sorted by customer trading need. Click an order type to view an extended order type description and a list of supported products. From the description table, click a link to drill down to more detailed information for a specific order, including exchanges on which the order type is supported, a link to the TWS Users' Guide, and sample order applications and examples.

Click here for important information regarding simulated orders.

Please note that IB also offers a large selection of stock and option algos. To find out more see the Algos Highlights page.

Order Types and Algos by Category

Limit Risk	Speed of Execution	Price Improvement	Privacy	Time to Market	Advanced Trading
Bracket	At Auction	Auction	Arrival Price	All-or-None	Basket
Market-to-Limit	Discretionary	Block	Balance Impact and Risk	Fill-or-Kill	Conditional
Market-with-Protection	Market	Box-Top	Hidden	GAT (Good-after-Date/ Time)	OCA
Stops (Adjustable)	Market-if-Touched	Limit	Iceberg/Reserve	GTD (Good-till-Date/Time)
Stop	Market-on-Close	Limit-on-Close	Minimize Impact	GTC (Good-till-Cancelled)	Spreads
Stop Limit	Market-on-Open	Limit-on-Open	Percent of Volume	Immediate-or-Cancel	Volatility
Trailing Stop	Midpoint Match	Limit-if-Touched	Scale
Trailing Stop Limit	Pegged-to-Market	Pegged-to- Midpoint	Guaranteed VWAP
	Pegged-to-Stock		Best Efforts VWAP
	Relative/Pegged-to-Primary
	Sweep-to-Fill

 

Order Types and Algos in Alphabetical Order

A  |  B  |  C  |  D  |  F  |  G  |  H  |  I  |  L  |  M  |  O  |  P  |  R  |  S  |  V
Order Type	Description	Products
All-or-None	An AON (All-or-none) order will remain at the exchange (or in the IB system) until the entire quantity is available to be executed.	EFPs, Options, Stocks,
Arrival Price	This IBAlgo attempts to achieve the midpoint price at the time the order is submitted, and considers the user-defined urgency/risk aversion and max percent of daily volume values.	Stocks
At Auction	An auction order is submitted at the Calculated Opening Price (COP). If the order doesn't execute, it is resubmitted as a limit order at the COP or best bid/ask.	Futures, Stocks
Auction	When terms allow, your order will be submitted for inclusion in the price improvement auction, based on price and volume priority.	Options
Balance Impact and Risk	This IBAlgo balances the market impact of trading the option with the risk of price change over the time horizon of the order, and considers the user-defined urgency/risk aversion and max percent of daily volume values.	Options
Basket	A group of individual orders that are saved in a single file and submitted as a package.	Futures, Future Options, Options, Stocks, Warrants
Block	A large volume limit order with a minimum of 50 contracts.	Options
Box-Top	A market order that is automatically changed to a limit order if it doesn't execute immediately at the market price.	Options
Bracket	Bracket orders are designed to help limit your loss and help lock in a profit by "bracketing" an order with two opposite-side orders using the same quantity as the original order.	Futures, Future Options, Options, Stocks, Warrants
Conditional	A Conditional order is an order that will automatically be submitted or cancelled ONLY IF specified criteria for one or more defined contracts are met.	Forex, Futures, Future Options, Options, Stocks, Warrants
Discretionary	A Discretionary order is a limit order for which you define a discretionary amount (which is added to or subtracted from the limit price) that increases the price range over which the order is eligible to execute. The original limit price is displayed to the market.	Stocks
Fill-or-Kill	A FOK (Fill-or-Kill) order must execute as a complete order as soon as it becomes available on the market, otherwise the order is canceled.	Options
Good-after-Time/Date (GAT)	A Good-after-Time/Date order is held in the IB system and sent to the exchange on the date and time you enter.	Bonds, Forex, Futures, Future Options, Options, Stocks, Warrants
Good-till-Canceled (GTC)	A Good-till-Canceled order will continue to work within the IB system and in the marketplace until it executes or is canceled by the customer.	Bonds, EFPs, Futures, Future Options, Options, Stocks
Good-till-Date/Time (GTD)	A Good-till-Date/Time order will remain working within the IB system and in the marketplace until it executes or until the close of the market on the date specified.	Bonds, Forex, Futures, Future Options, Options, Stocks, Warrants
Hidden	A Hidden order (generally a large volume order) shows no evidence of its existence in either the market data or the deep book.	EFPs, Futures, Options, Stocks
Iceberg/Reserve	An Iceberg order allows you to submit an order (generally a large volume order) while publicly disclosing only a portion of the submitted order.	Futures, Options, Stocks
Immediate-or-Cancel (IOC)	Any portion of an IOC order that is not filled immediately is cancelled.	Futures, Future Options, Options, Stocks
Limit	A limit order is an order to buy or sell a contract at a specified price or better.	Bonds, EFPs, Forex, Futures, Future Options, Options, Stocks, Warrants
Limit-if-Touched	An LIT (Limit-if-Touched) is an order to buy (or sell) an asset below (or above) the market, at the defined limit price or better. This order is held in the system until the trigger price is touched, and is then submitted as a limit order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Limit-on-Close	A LOC (Limit-on-Close) is an order that executes at the closing price if the closing price is at or better than the submitted limit price, according to the rules of the specific exchange. Otherwise the order will be cancelled.	Non US Futures, Stocks
Limit-on-Open	A LOO (Limit-on-Open) order is a limit order executed at the market's open if the opening price is equal to or better than the limit price.	Stocks
Market	A Market order is an order to buy or sell an asset at the bid or offer price currently available in the marketplace.	Bonds, EFPs, Funds, Forex, Futures, Future Options, Options, Stocks, Warrants
Market-if-Touched	An MIT (Market-if-Touched) is an order to buy (or sell) an asset below (or above) the market. This order is held in the system until the trigger price is touched, and is then submitted as a market order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Market-on-Close	A market order that is submitted to execute as close to the closing price as possible.	Non US Futures, Non US Options, Stocks
Market-on-Open	A market order that is executed at the market's open at the market price.	Stocks
Market-to-Limit	A Market-to-Limit order is sent in as a market order to execute at the current best price. If the entire order does not immediately execute at the market price, the remainder of the order is re-submitted as a limit order with the limit price set to the price at which the original order executed.	Futures, Future Options, Options, Stocks, Warrants
Market-with-Protection	A Market-with-Protection order is a market order that is cancelled and resubmitted as a limit order if the entire order does not immediately execute at the market price. The order's limit price is set by the exchange to be close to the current market price, slightly higher for a sell order and lower for a buy order.	Futures, Future Options
Midpoint Match (MPM)	An ISE stock order that executes at the midpoint of the bid/ask price.	Stocks
Minimize Impact	This IBAlgo minimizes market impact by slicing the order over time to achieve the market average without going over the user-defined max percent of daily volume.	Options
OCA	Orders in a one-cancels-all group of orders will be canceled when one of the other orders executes.	Forex, Futures, Future Options, Options, Stocks, Warrants
Pegged-to-Market	An order that is pegged to buy on the best offer and sell on the best bid.	Stocks
Pegged-to-Midpoint	An order that is pegged to buy/sell at the midpoint of the NBBO.	Stocks
Pegged-to-Stock	Specifies that the option price will adjust automatically relative to the stock price, using a calculated value based on data you enter.	Options
Percent of Volume	This IBAlgo participates with volume at a user-defined rate.	Stocks
Relative/Pegged-to-Primary	A Relative or Pegged-to-Primary order derives its price from a combination of the market quote and a user-defined offset amount. The order is submitted as a limit order and modified according to the pricing logic until it is executed or you cancel the order.	Options, Stocks
Request-for-Quote	Request market quotes for non-US options, futures and options on futures.	Futures, Future Options, Options
Scale	The scale orders command automatically creates a series of buy (sell) limit orders with incrementally lower (higher) prices, based on your original limit order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Spreads	A combination of individual orders (legs) that work together to create a single trading strategy. You can combine stock, option and futures legs into a single spread.	Futures, Options, Stocks
Stop	A Stop order becomes a market order to buy or sell securities or commodities once the specified stop price is attained or penetrated.	Forex, Futures, Future Options, Options, Stocks, Warrants
Stops - Adjustable	You can attach one-time adjustments to stop, stop limit, trailing stop and trailing stop limit orders which modify the stop trigger price, trailing amount and stop limit price.	Forex, Futures, Future Options, Options, Stocks, Warrants
Stop - Limit	A Stop Limit order becomes a limit order once the specified stop price is attained or penetrated.	Forex, Futures, Options, Stocks
Stop - Trailing Stop	A trailing stop for a sell order sets the stop price at a fixed amount below the market price. If the market price rises, the stop loss price rises by the increased amount, but if the stock price falls, the stop loss price remains the same. The reverse is true for a buy trailing stop order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Stop - Trailing Stop Limit	A trailing stop limit for a sell order sets the stop price at a fixed amount below the market price and defines a limit price for the sell order. If the market price rises, the stop loss price rises by the increased amount, but if the stock price falls, the stop loss price remains the same. When the order triggers, a limit order is submitted at the price you defined. The reverse is true for a buy trailing stop limit order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Sweep-to-Fill	A Sweep-to-Fill order identifies the best price and the exact quantity offered/available at the price, and transmits the corresponding portion of your order for immediate execution. Simultaneously it is identifying the next best price and quantity offered/available, and submits the matching quantity of your order for immediate execution.	Stocks
Volatility	A TWS-specific order where the limit price of the option or combo is calculated as a function of the implied volatility.	Future Options, Options,  Smart-routed Combination orders
VWAP - Guaranteed	The VWAP for a stock is calculated by adding the dollars traded for every transaction in that stock ("price" x "number of shares traded") and dividing the total shares traded. By default, a VWAP order is computed from the open of the market to the market close, and is calculated by volume weighting all transactions during this time period. TWS allows you to modify the cut-off and expiration times using the Time in Force and Expiration Date fields, respectively.	Stocks
VWAP - Best Efforts	This IBAlgo achieves the Volume-Weighted Average Price on a best-effort basis, without exceeding the user-defined max percent of daily volume.	Stocks

Order Types and Algos

Trader Workstation supports over 40 order types and algos that can help limit risk, speed execution, provide price improvement, allow privacy, time the market and simplify the trading process through Advanced Trading functions.

The table below lists all of our order types sorted by customer trading need. Click an order type to view an extended order type description and a list of supported products. From the description table, click a link to drill down to more detailed information for a specific order, including exchanges on which the order type is supported, a link to the TWS Users' Guide, and sample order applications and examples.

Click here for important information regarding simulated orders.

Please note that IB also offers a large selection of stock and option algos. To find out more see the Algos Highlights page.

Order Types and Algos by Category

Limit Risk	Speed of Execution	Price Improvement	Privacy	Time to Market	Advanced Trading
Bracket	At Auction	Auction	Arrival Price	All-or-None	Basket
Market-to-Limit	Discretionary	Block	Balance Impact and Risk	Fill-or-Kill	Conditional
Market-with-Protection	Market	Box-Top	Hidden	GAT (Good-after-Date/ Time)	OCA
Stops (Adjustable)	Market-if-Touched	Limit	Iceberg/Reserve	GTD (Good-till-Date/Time)
Stop	Market-on-Close	Limit-on-Close	Minimize Impact	GTC (Good-till-Cancelled)	Spreads
Stop Limit	Market-on-Open	Limit-on-Open	Percent of Volume	Immediate-or-Cancel	Volatility
Trailing Stop	Midpoint Match	Limit-if-Touched	Scale
Trailing Stop Limit	Pegged-to-Market	Pegged-to- Midpoint	Guaranteed VWAP
	Pegged-to-Stock		Best Efforts VWAP
	Relative/Pegged-to-Primary
	Sweep-to-Fill

 

Order Types and Algos in Alphabetical Order

A  |  B  |  C  |  D  |  F  |  G  |  H  |  I  |  L  |  M  |  O  |  P  |  R  |  S  |  V
Order Type	Description	Products
All-or-None	An AON (All-or-none) order will remain at the exchange (or in the IB system) until the entire quantity is available to be executed.	EFPs, Options, Stocks,
Arrival Price	This IBAlgo attempts to achieve the midpoint price at the time the order is submitted, and considers the user-defined urgency/risk aversion and max percent of daily volume values.	Stocks
At Auction	An auction order is submitted at the Calculated Opening Price (COP). If the order doesn't execute, it is resubmitted as a limit order at the COP or best bid/ask.	Futures, Stocks
Auction	When terms allow, your order will be submitted for inclusion in the price improvement auction, based on price and volume priority.	Options
Balance Impact and Risk	This IBAlgo balances the market impact of trading the option with the risk of price change over the time horizon of the order, and considers the user-defined urgency/risk aversion and max percent of daily volume values.	Options
Basket	A group of individual orders that are saved in a single file and submitted as a package.	Futures, Future Options, Options, Stocks, Warrants
Block	A large volume limit order with a minimum of 50 contracts.	Options
Box-Top	A market order that is automatically changed to a limit order if it doesn't execute immediately at the market price.	Options
Bracket	Bracket orders are designed to help limit your loss and help lock in a profit by "bracketing" an order with two opposite-side orders using the same quantity as the original order.	Futures, Future Options, Options, Stocks, Warrants
Conditional	A Conditional order is an order that will automatically be submitted or cancelled ONLY IF specified criteria for one or more defined contracts are met.	Forex, Futures, Future Options, Options, Stocks, Warrants
Discretionary	A Discretionary order is a limit order for which you define a discretionary amount (which is added to or subtracted from the limit price) that increases the price range over which the order is eligible to execute. The original limit price is displayed to the market.	Stocks
Fill-or-Kill	A FOK (Fill-or-Kill) order must execute as a complete order as soon as it becomes available on the market, otherwise the order is canceled.	Options
Good-after-Time/Date (GAT)	A Good-after-Time/Date order is held in the IB system and sent to the exchange on the date and time you enter.	Bonds, Forex, Futures, Future Options, Options, Stocks, Warrants
Good-till-Canceled (GTC)	A Good-till-Canceled order will continue to work within the IB system and in the marketplace until it executes or is canceled by the customer.	Bonds, EFPs, Futures, Future Options, Options, Stocks
Good-till-Date/Time (GTD)	A Good-till-Date/Time order will remain working within the IB system and in the marketplace until it executes or until the close of the market on the date specified.	Bonds, Forex, Futures, Future Options, Options, Stocks, Warrants
Hidden	A Hidden order (generally a large volume order) shows no evidence of its existence in either the market data or the deep book.	EFPs, Futures, Options, Stocks
Iceberg/Reserve	An Iceberg order allows you to submit an order (generally a large volume order) while publicly disclosing only a portion of the submitted order.	Futures, Options, Stocks
Immediate-or-Cancel (IOC)	Any portion of an IOC order that is not filled immediately is cancelled.	Futures, Future Options, Options, Stocks
Limit	A limit order is an order to buy or sell a contract at a specified price or better.	Bonds, EFPs, Forex, Futures, Future Options, Options, Stocks, Warrants
Limit-if-Touched	An LIT (Limit-if-Touched) is an order to buy (or sell) an asset below (or above) the market, at the defined limit price or better. This order is held in the system until the trigger price is touched, and is then submitted as a limit order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Limit-on-Close	A LOC (Limit-on-Close) is an order that executes at the closing price if the closing price is at or better than the submitted limit price, according to the rules of the specific exchange. Otherwise the order will be cancelled.	Non US Futures, Stocks
Limit-on-Open	A LOO (Limit-on-Open) order is a limit order executed at the market's open if the opening price is equal to or better than the limit price.	Stocks
Market	A Market order is an order to buy or sell an asset at the bid or offer price currently available in the marketplace.	Bonds, EFPs, Funds, Forex, Futures, Future Options, Options, Stocks, Warrants
Market-if-Touched	An MIT (Market-if-Touched) is an order to buy (or sell) an asset below (or above) the market. This order is held in the system until the trigger price is touched, and is then submitted as a market order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Market-on-Close	A market order that is submitted to execute as close to the closing price as possible.	Non US Futures, Non US Options, Stocks
Market-on-Open	A market order that is executed at the market's open at the market price.	Stocks
Market-to-Limit	A Market-to-Limit order is sent in as a market order to execute at the current best price. If the entire order does not immediately execute at the market price, the remainder of the order is re-submitted as a limit order with the limit price set to the price at which the original order executed.	Futures, Future Options, Options, Stocks, Warrants
Market-with-Protection	A Market-with-Protection order is a market order that is cancelled and resubmitted as a limit order if the entire order does not immediately execute at the market price. The order's limit price is set by the exchange to be close to the current market price, slightly higher for a sell order and lower for a buy order.	Futures, Future Options
Midpoint Match (MPM)	An ISE stock order that executes at the midpoint of the bid/ask price.	Stocks
Minimize Impact	This IBAlgo minimizes market impact by slicing the order over time to achieve the market average without going over the user-defined max percent of daily volume.	Options
OCA	Orders in a one-cancels-all group of orders will be canceled when one of the other orders executes.	Forex, Futures, Future Options, Options, Stocks, Warrants
Pegged-to-Market	An order that is pegged to buy on the best offer and sell on the best bid.	Stocks
Pegged-to-Midpoint	An order that is pegged to buy/sell at the midpoint of the NBBO.	Stocks
Pegged-to-Stock	Specifies that the option price will adjust automatically relative to the stock price, using a calculated value based on data you enter.	Options
Percent of Volume	This IBAlgo participates with volume at a user-defined rate.	Stocks
Relative/Pegged-to-Primary	A Relative or Pegged-to-Primary order derives its price from a combination of the market quote and a user-defined offset amount. The order is submitted as a limit order and modified according to the pricing logic until it is executed or you cancel the order.	Options, Stocks
Request-for-Quote	Request market quotes for non-US options, futures and options on futures.	Futures, Future Options, Options
Scale	The scale orders command automatically creates a series of buy (sell) limit orders with incrementally lower (higher) prices, based on your original limit order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Spreads	A combination of individual orders (legs) that work together to create a single trading strategy. You can combine stock, option and futures legs into a single spread.	Futures, Options, Stocks
Stop	A Stop order becomes a market order to buy or sell securities or commodities once the specified stop price is attained or penetrated.	Forex, Futures, Future Options, Options, Stocks, Warrants
Stops - Adjustable	You can attach one-time adjustments to stop, stop limit, trailing stop and trailing stop limit orders which modify the stop trigger price, trailing amount and stop limit price.	Forex, Futures, Future Options, Options, Stocks, Warrants
Stop - Limit	A Stop Limit order becomes a limit order once the specified stop price is attained or penetrated.	Forex, Futures, Options, Stocks
Stop - Trailing Stop	A trailing stop for a sell order sets the stop price at a fixed amount below the market price. If the market price rises, the stop loss price rises by the increased amount, but if the stock price falls, the stop loss price remains the same. The reverse is true for a buy trailing stop order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Stop - Trailing Stop Limit	A trailing stop limit for a sell order sets the stop price at a fixed amount below the market price and defines a limit price for the sell order. If the market price rises, the stop loss price rises by the increased amount, but if the stock price falls, the stop loss price remains the same. When the order triggers, a limit order is submitted at the price you defined. The reverse is true for a buy trailing stop limit order.	Forex, Futures, Future Options, Options, Stocks, Warrants
Sweep-to-Fill	A Sweep-to-Fill order identifies the best price and the exact quantity offered/available at the price, and transmits the corresponding portion of your order for immediate execution. Simultaneously it is identifying the next best price and quantity offered/available, and submits the matching quantity of your order for immediate execution.	Stocks
Volatility	A TWS-specific order where the limit price of the option or combo is calculated as a function of the implied volatility.	Future Options, Options,  Smart-routed Combination orders
VWAP - Guaranteed	The VWAP for a stock is calculated by adding the dollars traded for every transaction in that stock ("price" x "number of shares traded") and dividing the total shares traded. By default, a VWAP order is computed from the open of the market to the market close, and is calculated by volume weighting all transactions during this time period. TWS allows you to modify the cut-off and expiration times using the Time in Force and Expiration Date fields, respectively.	Stocks
VWAP - Best Efforts	This IBAlgo achieves the Volume-Weighted Average Price on a best-effort basis, without exceeding the user-defined max percent of daily volume.	Stocks

Odd Lot Orders

Opening Orders

An odd lot order to OPEN a new position may only be sent to NYSE or Amex as part of a basket order or as a market-on-close (MOC) order. IB prohibits odd-lot opening orders from being routed to NYSE Arca.

Closing Orders

Odd-lot closing orders may be routed to any market center to which IB routes orders, and can be directed either by the customer or via IB SmartRouting².

Partial Round Lot Orders

A partial round lot order (PRL), for example 249 shares, will be routed as follows:

• If the order is direct-routed to NYSE or Amex, the entire order will be submitted (this applies to both market and limit orders).
• If the order is direct-routed to NYSE Arca, only the round lot portion of the order will be submitted and, if it is executed, the IB system will cancel the remaining odd-lot portion of the order.
• If an order is routed via IB SmartRouting, all market centers are eligible to receive the order according to IB SmartRouting logic (including NYSE Arca - but only for the round lot portion of the order).
  

For more information, contact IB Customer Service.

Notes:

1. Individual exchanges may impose certain restrictions on odd lot orders in addition to the restrictions specified above.
2. IB will not route odd-lot orders for HOLDRS. Note that the odd-lot portion of a PRL order in HOLDRS will be rejected by the IB LLC system after the round lot portion of the order is executed.

1/10 Cent Orders

Orders for 1/10 cent may be submitted for securities trading < $1

Only INet accepts 1/10 cent orders natively. For orders that are routed through IB Smart but that do not execute on INet, the bid price is rounded down to the nearest decimal place, and the ask price is rounded up.

IBAlgos

S O F T W A R E    H I G H L I G H T S

Quick Glance

IBAlgos implement optimal trading strategies, which balance market impact with risk to achieve the best execution on your large volume orders. IBAlgos are available for U.S. options and stocks, and use historical and forecasted market statistics along with user-defined risk and volume parameters to determine when, how much and how frequently to trade your large volume order.

For instructions on how to enter IBAlgo orders in TWS, please see the TWS Users' Guide.

Options Algos

IB's options algorithms are unique in the industry. They are based on proprietary mathematical trading models, and use historical spread and volume data to optimally parse orders based on class, expiration and strike. This means that a front-month 50 delta call in AAPL will be treated differently than a front-month 20 delta call, or a front-month 50 delta call in GE. Our algorithms are available for more than 2000 US equity and index options.

 

Balance Impact and Risk

Objective

To balance the market impact of trading the option with the risk of price change over the time horizon of the order. This strategy considers the user-assigned level of risk aversion to define the pace of the execution, along with the user-defined target percent of volume.

User Inputs

Max Percentage of Average Daily Volume Urgency/Risk Aversion Level Get Done Aggressive Neutral Passive Attempt Completion by EOD checkbox.

Notes

The max percent you define is the percent of the total daily options volume for the entire options market in the underlying. The level of trade urgency determines the pace at which the order is submitted over the day. A higher urgency executes the order more quickly, opening it to greater market impact. A lower urgency allows the order to fill over time and incur less market impact. If Attempt Completion by End of Day is checked, we will try to complete the order today. Please note that we may leave a portion of the order unexecuted if the risk of the price changing overnight is less than the extra cost of executing the whole order today. Available for Smart-routed US Equity and Index Options.

Minimize Impact

Objective

To minimize market impact by slicing the order over time to achieve a market average without going over the Max Percentage value.

User Inputs

Max Percentage of Average Daily Options Volume

Notes

The max percent you define is the percent of the total daily options volume for the entire options market in the underlying. Set the limit price in terms of volatility by using the VOL order type. Set the Max Percentage from 1% to 50% . If left blank, the default value is 50%. Available for Smart-routed US Equity and Index Options.

Option Portfolio

Objective

To select, analyze and trade option combinations that have specified Greek values (delta, gamma, vega, theta) while minimizing exposure to the time value.

User Inputs

Objective Quantity Range of expiries (optional) Range of strikes (optional) Desired ratio of remaining Greeks relative to your objective (optional)

Notes

Click the Trade button to trade the portfolio. Use the Freeze Updates button to stop the query from analyzing and updating results. Chart the expected P&L for the portfolio using the IB Risk NavigatorSM. The stand-alone Greek Portfolio window includes Quote, Trades, and Portfolio panels. Available for Smart-routed US Equity and Index Options.

 

Stock Algos

Like our options algos, IB's stock algorithms are based on proprietary mathematical models, and optimally parse large volume orders using historical price and volume data in conjunction with user-defined risk and volume inputs.

Arrival Price

Objective

To achieve the bid/ask midpoint price at the time the order is submitted, taking into account the user-assigned level of risk aversion which defines the pace of the execution, and the user-defined target percent of average daily volume.

User Inputs

Max Percentage of Average Daily Volume Urgency/Risk Aversion Level Get Done Aggressive Neutral Passive Attempt Completion by EOD checkbox.

Notes

Set the max percent of average daily volume, from 1% to 50%. The level of urgency determines the pace at which the order is submitted over the day. A higher urgency executes the order more quickly, opening it to greater market impact. A lower urgency allows the order to fill over time and incur less market impact. If Attempt Completion by End of Day is checked, we will try to complete the order today. Please note that we may leave a portion of the order unexecuted if the risk of the price changing overnight is less than the extra cost of executing the whole order today. Available for US Equities on NYSE, AMEX and Nasdaq.

Percent of Volume

Objective

To participate with volume at a user-defined rate. Order quantity and volume distribution over the day is determined using the target percent of volume you entered along with continuously updated volume forecasts calculated from TWS market data.

User Inputs

Target percentage of participation of the Average Daily Volume.

Notes

Set a target percent of participation from 1% to 50%. Use with other TWS order attributes. Available for all Smart-routed US Equities.

 

VWAP

Objective

To achieve the Volume-Weighted Average price (VWAP), calculated from the time you submit the order to the close of the market.

User Inputs

Max Percentage of Average Daily Volume

Notes

VWAP is calculated from the time you enter the order to the close of the market. Define the percent of participation of average daily volume up to 50%. Lower commissions than regular guaranteed VWAP orders, but unlike our regular stock VWAP, the VWAP algo is not guaranteed. Available for all Smart-routed US Equities.

TWAP

Objective

To achieve the time-weighted average price calculated from the time you submit the order to the time it completes.

User Inputs

Trade when: Marketable Matching Midpoint Matching Same Side Matching Last

Notes

TWAP is calculated from the time you enter the order to the close of the market. The order will trade when the Trade when criterion is met. The TWAP algo is not guaranteed. Available for all Smart-routed US Equities.

TWS Algo Screens

IBAlgos can be accessed through the TWS Order Ticket, using the IBAlgo tab.

Any stock, options or futures symbols displayed are for illustrative purposes only and are not intended to portray a recommendation.

zero

good post, thanks