Size Variant Percentage of Volume Strategy - This algo allows you to participate in volume at a user-defined rate that varies over time depending on the remaining size of the order. Define the target percent rate at the start time (Initial Participation Rate) and at the end time (Terminal Participation Rate), and the algo calculates the participation rate over time between the two, based on the remaining order size. This allows the order to be more aggressive initially and less aggressive toward the end, or vice versa. Let's look at a series of examples to explain how the order may a) achieve its objective roughly in line with the desired life of an order, b) fill quickly without reaching its terminal rate and c) experience a partial fill. Note that all three examples use the above assumptions of 6.5 ADV and on average, trading of approximately one million shares/hour.
Additional Information
- Size Variant Percentage of Volume Strategy algo in the TWS User's Guide.
- Size Variant Percentage of Volume Strategy algo Study Notes
- Size Variant Percentage of Volume Strategy algo on the Website's Order Type Page.