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Designed to achieve the time-weighted average price calculated from the time the order is submitted to the close of the market.
To create a TWAP 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 TWAP.
3. Define parameters:
Trade when - select from:
- Marketable - the default value indicates that the order will be submitted when it is marketable, based on your limit price.
- Matching Midpoint - the order will be submitted when the limit price = midpoint of the bid/ask.
- Matching Same Side - the order will be submitted when the limit price = the price on the same side as your order (either the bid or the ask).
- Matching Last - the order will be submitted when the limit price = last price.
- 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.
For more information on IBAlgos, see the IB Order Types and Algos page.