IBAlgos

Use IBAlgos and CSFB Algos to automatically balance market impact with risk on your large volume orders. IBAlgos are available for US Equities and US Equity Options. CSFB Algos are available for US Equities.

To set up an IBAlgo order

1. On your main trading page, select a ticker line.

2. Right click and select Trade, then select Order Ticket. Or use the Order menu and select Ticket.

3. Click the IBALGO tab.

4. Select an algo using the dropdown list. Only those strategies valid for the instrument type will appear in the dropdown. Depending on the strategy you select, the necessary parameters will display.

User Inputs For Algos

Arrival Price
This strategy is designed to achieve or outperform the bid/ask midpoint price at the time the order is submitted, taking into account the user-assigned level of market risk which defines the pace of the execution, and the user-defined target percent of volume.

• Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.

• Urgency/Risk Aversion - select from the most aggressive Get Done to the least aggressive Passive. This value determines the pace at which the order will be executed. High urgency may result in greater market impact.

• Force completion by EOD - if checked your order will be execute by the end of day if possible. Please note that a portion of your order may be left unexecuted if the risk of the price changing overnight is less than the extra cost of executing the whole order today regardless of whether the EOD box is checked.

Percentage of Volume Strategy
Allows you to participate via 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.

• Target Percentage - enter the target percentage of participation in average daily volume.

VWAP
Designed to achieve or outperform the VWAP price, calculated from the time you submit the order to the close of the market.

• Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.

TWAP
Designed to achieve the time-weighted average price calculated from the time you submit the order to the close of the market.

• Trade When - select from:

• • Marketable - order trades when marketable based on your limit price.

  • Matching Midpoint - order trades when limit price = midpoint

  • Matching Same Side - order trades when limit price = bid or ask  

  • Matching Last - order trades when limit price = last price

Minimize Impact (for Options)
Designed to minimize market impact by slicing the order over time as defined by the Max Percentage value.

• Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.

Balance Impact and Risk (for Options)
Balances the market impact of trading the option with the risk of price change over the time horizon of the order by taking into account the user-assigned level of market risk which defines the pace of the execution, and the user-defined target percent of volume.

• Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.

• Urgency/Risk Aversion - select from the most aggressive Get Done to the least aggressive Passive. This value determines the pace at which the order will be executed. High urgency may result in greater market impact.

• Force completion by EOD - if checked your order will be executed by the end of day if possible. If not checked, a portion of your order may be left unexecuted if the risk of the price changing overnight is less than the extra cost of executing the whole order today.

For more information on  our algo offerings, see the Algos Software Highlights.

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