Close Price Strategy
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
Set up the order in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select Close Price.
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 Neutral. This value determines the pace at which the order will be executed. High urgency may result in greater market impact.
- Start time/End time - change the default times at which the submitted order will start to work and be canceled 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.
- Attempt completion by EOD - if checked your order will be execute by the end of day if possible. Please note that a portion of your order may be left un-executed if the risk of the price changing overnight is less than the extra cost of executing the whole order today regardless of whether the EOD box is checked.
For more information on this topic, please click here.