Guaranteed VWAP (Volume Weighted Average Price) Orders

To assist customers in reducing execution risk, IB supports full-day guaranteed VWAPs for large cap stocks. The VWAP for a stock is calculated by adding the dollars traded for every transaction in that stock ("price" x "number of shares traded") and dividing by the total shares traded.

Best-efforts VWAP is offered at IB's standard stock rate. See the fees page for Guaranteed VWAP rates.

VWAP orders are accepted up until 9:29 AM ET. A VWAP is computed from the beginning cut-off time (9:29 AM ET) to the ending cut-off time (market close), and is calculated by volume weighting all transactions during this time period. VWAP prices are computed by Bloomberg, displayed after market close, and are guaranteed to be executed.

VWAP order size limits are the lesser of (8% of the average daily volume of the symbol, or 10 million. The limit is applied against the accumulated order size for a symbol during the trading day. Long and short executions will be netted.

Products Availability Routing TWS
Stocks US Products Smart Attribute
Non-US Products Directed Order Type
VWAP Time in Force
View Supported Exchanges|Open Users' Guide

Please note that once your VWAP order is accepted you cannot cancel your order. There are important differences between VWAP transactions and ordinary trades. Please click here for more information and to learn about applicable limitations.

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.





Please note that once your VWAP order is accepted you cannot cancel your order. There are important differences between VWAP transactions and ordinary trades. Please click here for more information and to learn about applicable limitations.


VWAP Algo (Best-Efforts) Short Video



For more short videos, see our IB Short Videos, Courses & Tours section


Example

Volume Weighted Average Price Orders example

You want to buy 50,000 shares of large cap stock XYZ. At 9:00 a.m. You enter the order in TWS, selecting VWAP as the order type and entering 50,000 in the Quantity field. The order destination is automatically changed to VWAP and prices are no longer displayed. Submit the order. After the market closes, the VWAP order with the executing price is available via the Trades window.