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 by taking into account the user-assigned level of market risk which defines the pace of the execution, and the user-defined target percent of volume.

This algo is for options only.

To create a Balance Impact and Risk algo

Set up the order in the Mosaic Order Entry panel.

From the LMT type field, select IBALGO and then Balance Impact and Risk.

Complete the algo parameters and click Submit to send the order.

  • Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.
  • Urgency/Risk Aversion - select from the most aggressive Get Done to the least aggressive Passive. This value determines the pace at which the order will be executed. High urgency may result in greater market impact.

This feature is designed to affect large orders that affect a significant percentage of the average daily volume.

  • Attempt completion by EOD - if checked your order will be executed by the end of day if possible. If not checked, a portion of your order may be left unfilled if the risk of the price changing overnight is less than the extra cost of executing the whole order today.

For more information on IBAlgos, see the IB Order Types and Algos page.