Close Price Strategy
Investors submitting market or limit orders into the closing auction may adversely affect the closing price, especially when the size of the order is large relative to the average close auction volume. In order to help investors attempting to execute towards the end of the trading session we have developed the Closing Price Strategy. This algo breaks down large order amounts and determines the timing of order entry so that it will continuously execute in order to minimize slippage. The start and pace of execution are determined by the user who assigns a level of market risk and specifies the target percentage of volume, while the algo considers the prior volatility of the stock.
Notes:
The Reference Table to the upper right provides a general summary of the order type characteristics. The checked features are applicable in some combination, but do not necessarily work in conjunction with all other checked features. For example, if Options and Stocks, US and Non-US, and Smart and Directed are all checked, it does not follow that all US and Non-US Smart and direct-routed stocks support the order type. It may be the case that only Smart-routed US Stocks, direct-routed Non-US stocks and Smart-routed US Options are supported.
| Products | Availability | Routing | TWS | ||||
|---|---|---|---|---|---|---|---|
| Stocks | US Products | Smart | Attribute | ||||
| Options | Non-US Products | Directed | Order Type | ||||
| IB Algo | Time in Force | ||||||
| IB Algo | |||||||
| Open Users' Guide | |||||||
To create a Close Price algo order in Mosaic:
- Set up an order to buy/sell in the Mosaic Order Entry panel, specifying the number of shares to be traded.
- Click on the LMT type field and locate IBALGO and then select Close Price from the list of available algo order types.
- Complete the algo parameters and click Submit to send the order.
- Max Percentage – User may input a value of average daily volume restricting the maximum range that their order may not exceed, between 1% and 50%. This field is required.
- Urgency/ Risk Aversion – The selection will determine the speed at which the execution takes place and users may make one of four choices. The default selection is Neutral, while the least aggressive is Passive. The Get Done selection is most aggressive and may result in greater market impact depending on order size and typically average volumes in a specific ticker.
- Start Time – the algo is designed to submit any order depending on size, typical closing volume and market impact. However, you may determine the start time by entering your own value. If you enter a value here, the order may not complete. You may check the box instructing the order to "Attempt completion by EOD". If left blank the order may not fill by market close.
