Size Variant Percentage of Volume Strategy

Objective

This algo strategy lets you participate via volume at a calculated rate that is based on user-defined start and end target percents. This allows you to have the algo work more (or less) aggressively at the start and less (or more) aggressively at the end. The rate updates based on your remaining order quantity.

Example

Submit an order to buy 1000 shares with the Initial Target Percentage set to 1% and the Terminal Target Percentage set to 2%. Set Start Time to 10:00 and end time to 12:00. This means that you want to participate via 1% of the average volume starting at 10:00 and increase to 2% by the end time of 12:00. The participation rate between these two times is calculated using "linear interpolation." The algo will work for up to two hours.

If the average volume from 10:00 - 10:30 is 100,000, the algo might attempt to purchase shares as follows:

Time	Average Volume	Attempt to Purchase
10:00 - 10:05	20,000	200 shares
10:05 - 10:10	15,000	150 shares
10:10 - 10:15	15,000	150 shares
10:15 - 10:20	15, 000	150 shares
10:20 - 10:25	15,000	150 shares
10:25 - 10:30	20,000	200 shares

In this case, after the first 200 shares are filled, the target percent rate is updated (since the rate chane is driven by the remainging order size). Once the next 150 shares fill the rate is updated again and so on.

Products	Availability	Routing	TWS
Stocks	US Products	Smart	Attribute
	Non-US Products	Directed	Order Type
		IB Algo	Time in Force
			IB Algo
Open Users' Guide

Additional Notes:

The algo will stop at the designated end time regardless of whether or not the entire quantity has filled.
If Start Time and End Time are left blank the algo will run from the time it is submitted to the market's close.
Checking Attempt to never take liquidity ensures that the order won't hit the opposite side, and that it will trade at a price better than or equal to the specified limit price.