Duration: 2:48
Level: Intermediate

A Time-Weighted Average Price or TWAP is an IB Algo that is available for U.S Stocks, Options, Futures, and Forex as well as some select foreign market stocks on the Pro platform. Accessible through both Mosaic, Classic TWS, and Mobile.

Study Notes:

In this video we will walk through how to enter an order using the Time-Weighted Average Price or TWAP IB Algo Time-Weighted Average Price (TWAP). The TWAP IB Algo is available for US equities, options, and futures as well as Forex and certain non-US stocks. This TWAP algo is useful if you want to attain the time weighted average price during a specific period. The TWAP allows for specific conditions to be met if the user chooses for the order to trade. We will walk through the input choices during the video.

We will enter a TWAP order using the Mosaic Order Entry Panel.

  • First, enter the symbol in the order entry panel and choose Buy or Sell and the trade price.
  • In the order type drop down box scroll down to IBALGO and choose TWAP.
  • Once selected the Advanced window will appear and show Algo parameters.
  • Starting in the top left corner TWAP will be shown in the Algo drop down box.
  • Continuing to the right select when you would like the order to trade.
  • Choose from Marketable, Matching Midpoint, Matching Side, or Matching Last.
  • Next, decide during which time period the order will begin and end.
  • The end time will supersede the time in force and will stop at the designated time regardless of whether if it is filled or not.
  • You may allow the order to continue to trade by checking the “Allow trading past end time” box underneath Start Time.
  • The final input selection is to “Trade when price is more aggressive than”.
  • This input evaluates buy orders with the bid and sell orders with the ask, if a value is entered the order becomes conditional and will trade when the bid price for a buy or the ask price for a sell is met.

When you have made all the input selections exit out of the Advanced window by clicking on the red x in the upper right-hand corner and click Submit on the Order Entry panel. 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 TWAP (IB) in the Type data column.

The IBKR TWAP algo may not fill during its duration if the criteria is not met and so it is not guaranteed.


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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, 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.