Investors submitting market or limit orders into the closing auction may adversely affect the closing price, especially when the size of the order is large relative to the average close auction volume. In order to help investors attempting to execute towards the end of the trading session we have developed the Closing Price Strategy. This algo breaks down large order amounts and determines the timing of order entry so that it will continuously execute in order to minimize slippage. The start and pace of execution are determined by the user who assigns a level of market risk and specifies the target percentage of volume, while the algo considers the prior volatility of the stock.
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.
|Options||Non-US Products||Directed||Order Type|
|IB Algo||Time in Force|
|Open Users' Guide|