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VWAP

Designed to achieve or outperform the VWAP price, calculated from the time you submit the order to the close of the market.

To create a VWAP algo

1.  Specify the order side (buy/sell) and quantity in the Mosaic Order Entry panel.

2.  From the LMT type field, select IBALGO and then select VWAP.

3.  Define parameters:

Note:  If you specify and Start and End time, TWS confirms that acceptability of the time period using yesterday’s trading volume. If the time period you define is too short, you will receive a message with recommended time adjustments.

Note:   Interactive Brokers will use best efforts not to take liquidity, however, there will be times that it can not be avoided.

 

Important Disclosures