Close Price

Study Notes:

The Interactive Brokers’ Close Price algorithm is designed to break down large order amounts into smaller slices, time the orders to continuously execute and minimize slippage with respect to the closing price.  It is useful for investors who submit market or limit orders towards the end of the trading session and are trying to avoid adversely affecting the closing price.

The Closing Price algorithm order type is available for US Stocks, Options, and some non-US products. It is available on Classic TWS, Mosaic, and Mobile.

To use the Closing Price algorithmic order type in Mosaic, the investor should enter a symbol in the top left of the Order Entry panel, choose to buy or sell and select the quantity. Next, click on the order type drop-down box, scroll down to IBALGO, and select Close Price in the side car window that appears.

The Advanced Window will appear and in Algo parameters section Close Price will be on the first drop-down line.

Next, the investor chooses the Max percentage. This is the maximum percentage of the average daily volume the order will comprise, and the investor may enter a number from 0.01 to 50, representing .01% to 50%. Entering 5 will ensure the order will not surpass 5% of the average daily volume.

Next, choose the Risk aversion level which determines the pace the order will be executed. There are 4 choices:

• Get Done – the most aggressive selection,
• Aggressive,
• Neutral, and
• Passive, the least aggressive.

The potential for market impact increases as the urgency or aggressiveness used for the order is raised. Once the risk aversion level has been set the investor may choose a start time.  An important note when selecting a start time is this: The algorithm is designed to submit any order depending on size, typical closing volume, and market impact.  If the investor chooses to enter a value for the start time the order may not be complete.

The final parameter choice is to Attempt completion by end of day. If checked the algorithm will attempt to complete the order by the end of the day if possible. It is important to note that a portion may remain unexecuted if the risk of the price changing overnight is less than the extra cost of executing the entire order even if the box has been checked.

When satisfied with the order parameters, exit out of the Advanced window and choose either your limit price or trade at the market since both Market and Limit orders are supported by the Closing Price algorithm.

When ready, click submit on the Order Entry panel. An Order Confirmation window will appear with a summary of the order and parameters. When ready, click Transmit and the order will appear in the Activity window with Closing Price (IB) in the Type column.

The Closing price algorithmic order type is useful for the investor looking to execute a large order relative to the typical closing auction size at the end of the day.

Close Price Order Type

IBKR Algos User Guide