About IB Algos
Our proprietary IB Algos are designed to help balance market impact with risk on your large volume orders. A brief overview of our expanding family of IB Algos is shown below. Click an algo to find out more:
Adaptive: Attempts to achieve the fastest fill at the lowest all-in price.
Arrival Price: Attempts to achieve the bid/ask midpoint at the time that the order was submitted.
Balance Impact and Risk: Balances the market impact of trading the option with the risk of price change over the time horizon of the order.
Close Price: 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.
Dark Ice: Like an Iceberg/Reserve order, Dark Ice exposes only a fixed, small amount of the total order quantity at a time, but the Dark Ice algo also randomizes the display size based on the probability of the price moving favorably.
Minimize Impact: Lets you control participation in the Average Daily Options Volume, and tries to minimize market impact by slicing the order over time to achieve a market average without going over the user-defined Max Percentage value.
Percentage of Volume: Helps clients limit the contribution of their orders to the overall average daily volume, thereby minimizing the impact that their orders have on the price of the instrument .
Price Variant Percentage of Volume: This algo lets you participate in the average daily volume at a user-defined rate that varies over time, depending on the market price of the security.
Size Variant Percentage of Volume: This algo lets you participate in volume at a user-defined rate that varies over time, depending on the remaining size of the order.
TWAP: Aims to achieve the time-weighted average price calculated from the time you submit the order to the time it completes. Incomplete orders at the end of the stated completion time can continue to fill if the box 'allow trading past end time' is checked.
Time Variant Percentage of Volume: A customizable IB algo that lets you participate in the Average Daily Volume at a user-defined rate that varies with time. You define the target percent "rate of participation" at the start and end time, and the algo calculates the participation rate over time between the two. This allows your order to work more aggressively at the start and less so at the end, or vice versa.
VWAP: The best-efforts VWAP algo seeks to achieve the Volume-Weighted Average Price calculated from the time you submit the order to the close of the market. The best-efforts VWAP algo is a lower-cost alternative to the Guaranteed VWAP.