Close Price Orders in Desktop

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 IBKR 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 “Close Price”

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.

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.

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.