Size Variant Percentage of Volume

The Size Variant Percentage of Volume IB Algo. The Size 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 Size 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 remaining size of 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 Size Variant Percentage of Volume from the list.

Now set the Initial Target Percentage and Terminal Target Percentage at end time.

You can use any value from .01% to 50%.

Setting a lower number in the beginning and a higher number at the end allows the order to be more aggressive toward the end or vice versa if you use a higher number for the initial rate.

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, let’s assume an ADV of 1million shares per hour, an investor wants to buy 50,000 shares between 10 am and 12 noon.

He enters an initial target of 2% and a 5% target at end time, the algo will adapt the pace of execution over the life of the order, stepping up the percentage each 15-minute period of the order’s time frame and filling just prior to the end of the period.

If the overall quantity was 10,000 with the same parameters, it would be filled within 45 minutes and if the overall quantity was 100,000 the order would only be partially executed leaving 50,000 shares unfilled.

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