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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:
- Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.
- Start time/End time - change the default times at which the submitted order will start to work and be cancelled using the Start/End Time fields. The End Time supersedes the time in force. Note that the algo will stop at the designated end time regardless of whether the entire quantity has filled unless you check Allow trading past end time.
- Allow trading past end time - if checked, the algo will attempt completion by the specified end time, but will continue to work past the end time to execute any unfilled portion. This feature only applies when an End Time has been specified.
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.
- Attempt to never take liquidity - Check to ensure the algo order will not hit the bid or lift the offer if possible. This may help to avoid liquidity-taker fees, and could result in liquidity-adding rebates. However, it may also result in greater deviations from the benchmark.
Interactive Brokers will use best efforts not to take liquidity, however, there will be times that it can not be avoided.
- Speed up when market approaches limit price - When checked, this feature will increase the rate of trading when the order is marketable and the market price closes the gap toward the order's limit price, since the chance of a market move resulting in the order becoming non-marketable is high. Checking this feature for relatively small order sizes may help to ensure a better fill rate.