If you receive an order reject for a “Large Size” order you will need to recreate a new order for a smaller amount. Due to regulatory obligations, and in an effort to prevent sending orders to an exchange that would be disruptive to the marketplace, IBKR has implemented filters for "Large Sized" orders. These filters are based on the Average Daily Volume from the reporting exchanges. If your order is affected then the reject message will recommend a smaller amount for a new order that would fall within the "Large Size" order check parameters.
For example, the message would say:
“In accordance with our regulatory obligations as a broker, we cannot accept Large Limit Orders for 3000 shares of BML PRL that you have submitted. Please submit a smaller order (not exceeding 2417)”
As an alternative, traders may consider using an Adaptive (IBAlgo) order, a VWAP order, a GTC Accumulate/Distribute order or other IBAlgo order. For more information on trading with Algos, please visit this TWS Users' Guide page for Algorithmic Trading.