Price Variant Percentage of Volume for Desktop

The Price Variant Percentage of Volume Algo is available for U.S. stocks and futures as well as some select non-US stocks and futures. This IB Algo is useful for larger size orders when you wish to minimize market impact on the price of the security. The Price Variant Percentage of Volume algo allows you to participate in volume at a user-defined rate that varies over the time selected depending on the market price of the security. For buy orders, the algo allows you to buy more aggressively when the price is low and be passive when the price is high. For sell orders, you can sell more aggressively when the price is high and be passive when the price is low.

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 Price Variant Percentage of Volume from the list.

The investor then sets the Target Percentage; this is the pace of the order relative to the average daily volume. Next set the Target Percentage Change Rate which will increase or decrease the target percentage based on price movement. Now set the Minimum and Maximum Target Percentages. You can use any value from .01% to 50% for all four Percentage categories.

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.

Finally, for sophisticated price-contingent execution, 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.

For example, if an investor wants to sell 10,000 shares of a stock trading at $100 per share between 10 am and 12 pm and wants to sell more aggressively as the price rises and less aggressively as the price falls they could set the target percentage to 10% which sets the participation to 10% of ADV when the shares are trading at $100. Set the Target Percentage Change to 5% which for every 1% rise in the underlying price will increase the pace of selling by 5% and vice versa for a decrease in price.  Setting the Minimum Target percentage to 1% would cause the Algo to participate at 1% of ADV if the price falls below $98, and setting the Maximum Target percentage to 20% would cap the sell order to never be more than 20% no matter how high the price rose above $102.

Once they make their selection, they can either preview the order or click Submit.