Price Variant Percentage of Volume Strategy
This algo allows you to participate in volume at a user-defined rate that varies over time based on the price of the security. It lets you buy more aggressively when the price is low and less aggressively as the price increases, and just the opposite for sell orders.
To recalculate the percent of volume applied with each price change:
Target Percentage - 100 x Order Side x Target Percentage Change Rate x Percent change in price
where Order Side = 1 for buy, -1 for sell.
To submit a Price Variant Percent of Volume Order
Set up the order in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select Price Variant Percentage of Volume.
Complete the algo parameters and click Submit to send the order.
- Initial Target Percentage of the average volume to start off the order. Enter "1" for 1% etc.
- Target Percentage Change Rate will control how the target percent of volume will be adjusted with respect to price changes to the underlying. Each price change triggers a new calculation for the current percent of volume.
- Specify a Minimum and Maximum target percentage if desired.
- Specify the start time and end time if needed. Otherwise the algo will start when you transmit the order and end at the market's close.
- Attempt to never take liquidity - If checked the order is guaranteed not to hit the opposite side, and it will trade at a price better than or equal to the limit price.
For more information on IBAlgos, see the IB Order Types and Algospage.