Time Variant Percentage of Volume Strategy - This algo allows you to participate in volume at a user-defined rate that varies with time. Define the target percent rate at the start time and at the end time, and the algo calculates the participation rate over time between the two. This allows the order to be more aggressive initially and less aggressive toward the end, or vice versa.
For example, an investor wants to purchase 10,000 shares in ABC Corp. between 10:00 am and12:00 pm ET. He enters an Initial Target Purchase value of 1% and a Terminal Target Percentage of 4%. (NB – the above assumptions hold – ie.1mm ADV per hour).
Additional Information
- Time Variant Percentage of Volume Strategy algo in the TWS User's Guide.
- Time Variant Percentage of Volume Strategy algo Study Notes
- Time Variant Percentage of Volume Strategy algo on the Website's Order Type Page.