Arrival Price Orders in Desktop

The Interactive Brokers’ Arrival Price algorithmic order type attempts to achieve over the course of the order the bid/ask midpoint at the time the order was submitted.  It is useful for investors who wish to keep orders hidden that could impact a high percentage of the average daily volume.

The Arrival Price order type is available for US stocks and some European stocks as well as major currency pairs routed to IDEALPRO. It can be accessed on Desktop, Classic TWS, Mosaic, and Mobile.

In Desktop the investor creates an order ticket then clicks on “Advanced” in the lower right-hand corner to bring up the Advanced Order Ticket window.

Once the Advanced Order Ticket window is up the investor can adjust the quantity. In the Description panel they choose between market or limit and then click on the Destination drop down and scroll to IBALGO and underneath choose the Time-in-Force.

Next, the investor scrolls down to the IBKR Algorithmic Trading section and selects Arrival Price from the list. Directly underneath is 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 five 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 four 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 and/or end time. These values are the time the order will start and end regardless of whether the entire quantity has filled unless you check the box below next to “Allow Trading past end time.” If no values are set, then the start time will default to the start of market trading and the end time will default to the end of market trading.

An important note when selecting a start and end time is this: The system will confirm acceptability of the time using the prior day’s trading volume. If the period defined is too short the investor will receive a message with recommended time adjustments.

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, the investor can either preview the order or click Submit. Orders can be monitored in the portfolio page by clicking on Orders.