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.

 

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.