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Time Variant Percentage of Volume Strategy

Objective

This algo strategy allows your order to work more aggressively at the start and work less aggressively towards the end, or vice versa. It lets you participate via volume at a user-defined rate that varies with time based on the initial and terminal participation rates that you specify. The algo will then calculate the rate of participation between the start and end times.

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 the algo would likely be finished by 10:30 as the user-defined 1% of the average volume would be equal to our order quantity of 1000.

Products Availability Routing TWS
Stocks US Products Smart Attribute
    Non-US Products Directed Order Type
        IB Algo Time in Force
            IB Algo
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Additional Notes: