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Interactive Options Course
Lesson 11 of 16
The Percentage of Volume IB Algo is useful for larger size orders when the investor wishes to minimize market impact on the price of the security. The Percentage of Volume algo allows the investor to participate in volume at a user-defined rate over the time selected for the order.
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 screen and selecting “Average Volume” from the High/Low/Volume/History section in the Available Columns area.
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 price if applicable, and then click on the Destination drop down and scroll to IBALGO and underneath choose Day for Time-in-Force.
The investor then scrolls down to the IBKR Algorithmic Trading section and selects Percentage of Volume from the list.
Now set the Target between .01% to 50% to control the participation between the start and end times.
Next the investor chooses 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, the investor 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.
Investors can leverage the powerful “Trade when price is more aggressive than” parameter. This dynamic condition continuously evaluates real-time market conditions against the investors specified threshold—comparing against the bid price for buy orders and the ask price for sell orders. Click on the box and enter a value in the space.
Once they make their selection, they can either preview the order or click Submit to activate the order.
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.
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