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 Monitor Panel and selecting “Average Volume” from the Available Columns area.
We will enter a Time Variant Percentage of Volume order using the Mosaic Order Entry Panel.
- First, enter the symbol in the order panel and choose Buy or Sell and the trade volume.
- In the order type drop down box scroll down to IBALGO and choose Time Variant Percentage of Volume.
- The Advanced window will appear with IB: % Volume Time as the destination in the upper left-hand corner.
- Moving to the Algo parameters area you will see Time Variant Percentage of Volume in the upper left-hand corner.
- Now set the Initial Target Percentage and Terminal Target Percentages.
- 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 choose 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, you 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, you can make the algo conditional and only trade when the bid price, for a buy order, or the ask price, for sell order is met.
It is important to note that you are targeting the percentage of daily volume and not the percentage of your overall order quantity so your 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 you submit an order for 50,000 shares over a 2-hour period and select 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.
Going back to the order when you are ready to send exit out of the Advanced window and click submit. The order confirmation window will appear summarizing the order and the inputs you selected. Click Transmit and the order will populate the Activity panel and show %VolTM(IB) in the Type data column.
Based on the conditions you set and actual volume the order may not necessarily fill within the same day.
Disclosure: Interactive Brokers
The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.
The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Interactive Brokers LLC, its affiliates, or its employees.
Disclosure: Order Types / TWS
The order types available through Interactive Brokers LLC’s Trader Workstation are designed to help you limit your loss and/or lock in a profit. Market conditions and other factors may affect execution. In general, orders guarantee a fill or guarantee a price, but not both. In extreme market conditions, an order may either be executed at a different price than anticipated or may not be filled in the marketplace.