VWAP Algo (Best-Efforts)

Objective

IB's best-efforts VWAP algo seeks to achieve the Volume-Weighted Average price (VWAP), calculated from the time you submit the order to the close of the market.

If you require a guaranteed VWAP, please refer to IB's Guaranteed VWAP order type.

Best-efforts VWAP algo is a lower-cost alternative to the Guaranteed VWAP that enables the user to attempt never to take liquidity while also trading past the end time. Because the order may not be filled on the bid or at the ask prices, there is a trade-off with this algo. The order may not fully fill if the user is attempting to avoid liquidity-taking fees and/or maximize liquidity-adding rebates, and may miss the benchmark by asking to stay on the bid or ask. The user can determine the maximum percentage of ADV (up to 50%) his order will comprise. The system will generate the VWAP from the time the order is entered through the close of trading, and the order can be limited to trading over a pre-determined period. The user can request the order to continue beyond its stated end time if unfilled at the end of the stated period. The best-efforts VWAP algo is available for all US equities.

Notes:

The Reference Table to the upper right provides a general summary of the order type characteristics. The checked features are applicable in some combination, but do not necessarily work in conjunction with all other checked features. For example, if Options and Stocks, US and Non-US, and Smart and Directed are all checked, it does not follow that all US and Non-US Smart and direct-routed stocks support the order type. It may be the case that only Smart-routed US Stocks, direct-routed Non-US stocks and Smart-routed US Options are supported.


Products Availability Routing TWS
CFDs US Products Smart Attribute
Futures Non-US Products* Directed Order Type
Stocks IB Algo Time in Force
IB Algo
*Available for Australian stocks.
*Available for European, Japanese and Hong Kong stocks for customers who use the Cost Plus pricing structure.
Open Users' Guide