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The Close Price algo is designed to minimize slippage with respect to the closing price by slicing orders into smaller quantities and executing them in the continuous market just before the close. It considers the user-assigned level of market risk, the user-defined target percentage of volume, and the volatility of the stock in determining how long before the close it should start executing the trade, and the pace at which the trade should be executed.
This strategy is especially useful when the volume to be executed is large relative to the average close auction volume and submitting the entire order into the close auction via an MOC or LOC order would adversely impact the closing price.
To create a Close Price algo
1. Set up the order in the Mosaic Order Entry panel.
2. From the LMT type field, select IBALGO and then select Close Price.
3. Complete the algo parameters and click Submit to send the order.