TWAP Order Type in IBKR Desktop

In this video the investor will enter an order using the Time-Weighted Average Price or TWAP IB Algo Time-Weighted Average Price (TWAP). The TWAP IB Algo is available for US equities, options, and futures as well as Forex and certain non-US stocks. This TWAP algo is useful if you want to attain the time weighted average price during a specific period. The TWAP allows for specific conditions to be met if the user chooses for the order to trade.

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 the Time-in-Force.

The investor then scrolls down to the IBKR Algorithmic Trading section and selects TWAP from the list.

Once TWAP is selected the investor can choose which categories to fill in:

Start time and end time which allow the investor to establish their order’s active trading window by defining precise start and end times, giving them granular control over when the TWAP algorithm operates in the market. The designated end time functions as a hard stop that overrides any standard time-in-force parameter, automatically terminating the order at the specified moment regardless of fill status—essential for strategies with strict timing requirements.

For situations requiring adaptive flexibility, the imvestor can activate the “Allow trading past end time” option located beneath the Start Time field. This intelligent feature enables the algorithm to continue working beyond the initial timeframe if market conditions warrant extended execution, preventing premature termination when opportunities remain available.

They can also use the catch-up feature which will calculate the amount not placed or missed when the order was non-markatable.

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.

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