TWSGuide PDF
Uploaded by
Rafael MunhozTWSGuide PDF
Uploaded by
Rafael MunhozTWS Users' Guide
September 2016
2016 Interactive Brokers LLC. All Rights Reserved
Any symbols displayed within these pages are for illustrative purposes only, and are not
intended to portray any recommendation.
Contents
Contents 3
Get Started 47
Log In to TWS 47
Download Software 47
Switch between stable, Latest and Beta versions 48
Offline TWS 48
Add Market Data 49
Option Selector 50
Option Selector 52
Create an Order 53
Modify an Order 55
Using Mosaic 56
Using Advanced Order Entry 56
Transmit an Order 57
Cancel an Order 59
Add a Quote Monitor 61
Add and Remove Fields 62
Pause Execution 63
Use the Integrated Search Tool 63
Mosaic 66
Understanding the Mosaic Interface 68
TWS Guide 3
Contents
The Mosaic Interface 68
The Anchor Window 69
Layout Locked 71
Layout Unlocked 71
Mosaic Fonts 71
Templates 72
Trade in Mosaic 73
The Order Entry Window 73
Advanced Orders Panel 75
Routing 76
Iceberg 76
Order Reference 76
All or None Attribute 76
Attach a Stop Loss 77
Attach a Bracket 78
Attach a Profit Taker 80
One Cancels Other 81
Attach Hedging Order 91
Check Margin 94
The Portfolio 94
Portfolio Performance Profile 96
To use the Performance Portfolio Profile 97
The Orders Window 98
Strategy Builder 99
TWS Guide 4
Contents
Quotes and Data in Mosaic 100
The Watchlist 101
Predefined Watchlists 102
Market Depth 103
Time & Sales Data 104
Price History Window 108
Option Chains 109
The Quote Details Window 110
FX Matrix 110
SLB (Stock Loan Borrow) Rates 112
Technical Analytics 113
Portfolio Builder 114
Mosaic Market Scanners 117
Predefined Mosaic Market Scanners 123
Mosaic Market Statistics 128
Advanced Market Scanner 129
Complex Orders and Trades Scanner 130
Mutual Fund/ETF Replicator 132
Options Analysis 135
Volatility Lab 135
Volatility Lab 136
Implied Volatility Tab 136
Historical Volatility Tab 139
Industry Comparison 140
TWS Guide 5
Contents
Volatility Over Time 141
Volatility Skew 143
Probability LabSM (Patent Pending) 145
Option Strategy Lab 148
Order Entry 150
Analyze Strategies in the Scanner 151
Analyze the Price Target 151
Compare Strategy Performance 152
Strategy Detail 153
Option Activity 154
Option Analytics 156
Option Analytics Greeks 159
Option Analytics P&L 160
Option Analytics 161
Strategy Performance Graph 164
Portfolio Analyst 166
Wall Street Horizon Data 166
The Toolbox 168
IB Information System 169
Event Calendars 170
Daily Lineup 170
Economic Events 171
Corporate Earnings 172
Dividends and Splits 173
TWS Guide 6
Contents
IPOs and Secondary Offerings 174
Corporate Events 175
Fundamentals 175
Analyst Ratings (Summary) 177
Short Interest Tear Sheet 178
Ownership Tear Sheet 180
Mosaic News Panel 182
Bloomberg TV News Feed 182
StockTwits News Feed 183
Today's Top Ten News 184
Company Specific News 185
Filtered News 186
Market Signals 187
Traders' Insight News Feed 189
Social Sentiment 189
Portfolio or Watchlist News 190
Broad Tape News 191
Analyst Research 192
Analyst Actions 192
Recent Publications 193
Market Columns and Reports 194
Trading Tools 198
BasketTrader 203
Send a Basket Order 203
TWS Guide 7
Contents
Create a Basket File in TWS 205
Manually Create a Basket File 206
IndexTrader 208
BookTrader 209
Open BookTrader 210
Trade with BookTrader 212
BookTrader Quantity Multipliers 215
BookTrader Order Handling 216
BookTrader Hotkeys 219
BookTrader Colors 225
BookTrader Buttons 228
Order Type Select buttons 228
Basic Buttons panel 228
Deep Book buttons 229
ChartTrader 229
Open ChartTrader 230
Create and Transmit Chart Orders 231
ComboTrader 233
About Combination Orders 233
Create a Combination Order 238
Guaranteed and Non-Guaranteed Combo Orders 241
Using the ComboTrader 241
Multiple combos 241
Strategy combo 242
TWS Guide 8
Contents
Advanced Combo Routing 245
Advanced Combo Routing Fields (available based on selected Order Type): 247
Transmit a Combination Order 248
Notes on Combination Orders 249
EFPs 250
Relevant EFPs 251
Introduction 251
EFP Futures Spreads 252
FXTrader 254
The FXTrader Window 254
The FXTrader Trading Cell 255
Using the FXTrader 257
The Integrated Stock Window 258
Quote Panel 258
Book Data Panel 260
ISW Buttons Panel 261
Order Entry Panel (OEP) 263
Auto Orders 264
ISW Order Entry Sub Panels 266
Market Depth 268
Market Depth Trader 268
NOTES 269
Market Depth Trader for Bonds 270
Market Depth Buttons Panel 271
TWS Guide 9
Contents
Create an Order 272
Merger Arbitrage Window 274
OptionTrader 276
Using the OptionTrader 277
Loading Option Chains 278
Combo Orders in the OptionTrader 280
The Button Panel 281
OptionTrader Statistics 283
OptionTrader 285
Settings 286
The Order Ticket 288
Basic 288
Advanced Combo Routing 293
Advanced Combo Routing Fields (available based on selected Order Type): 295
Adjustable Orders 296
Scale Orders via ScaleTrader 299
Pegged Orders 301
Volatility Trading 303
Conditional 307
Miscellaneous 309
Pre-Borrow Shares for Shorting 313
About Pre-Borrows 313
Eligibility 313
The Pre-Borrow Market 313
TWS Guide 10
Contents
Rates and Fees 313
Transaction Information 314
Create a Pre-Borrow Order 314
Short Sales on a Pre-Borrow 315
Transactions and Positions 316
317
Pre-Borrow Returns 317
Order Quantity Calculator 319
Determine Order Quantity 319
Calculate Order Quantity 320
Rapid Order Entry 323
Enter Orders using Rapid Order Entry 323
Update Multiple Orders 325
Which orders 326
Set Type and Time in Force 327
Set Price Parameters 327
Validation 327
Create "Instantaneous Transmit" Hot Key 327
Rebalance Your Portfolio 328
The Rebalance Window 329
Import and Export Positions to Rebalance 330
Rebalance for Advisors 334
SpreadTrader 336
Create Futures Spreads with SpreadTrader 337
TWS Guide 11
Contents
EFP Futures Spreads 339
Create Option Spreads in SpreadTrader 341
Stock Borrow/Loan 343
About Stock Borrow/Loan 344
Access Stock Borrow/Loan 345
Borrow/Loan Fields 347
Borrow/Loan Transactions 351
Borrowing Shares 351
The Borrow Rate and Interest Rate 353
Preview Orders 354
Lending Shares 355
Returns/Recalls/Rerates 355
Transactions and Positions 358
360
TWS Blotter 360
Using the TWS Blotter 360
Understand the Blotter Interface 361
Manual Ticket Entry 363
Advisor Allocations 366
Receive Electronic Tickets 367
Use Color Grouping to Link Blotter Windows 370
Using the Tickets Panel 371
Using The Orders Panel 373
What is an Away Destination? 376
TWS Guide 12
Contents
Manage Orders with TWS Algos and Tools 379
Reading the Trades Panel 380
Display Orders by Filter Criteria 380
Order Sharing Modes 382
Configure the Blotter Panels 384
Trade Volatility 387
Volatility Trading 387
Attach a Delta Hedge Order 391
Volatility Trading 392
Write and Roll Options 395
Write Options 395
Write/Roll Options: Option Chains 397
Rollover Options 398
Yield Optimizer 400
Open the Yield Optimizer 400
Compare Borrow Rates 402
Algorithmic Trading 404
Accumulate Distribute Algo 407
Get Started 408
Define the Algorithm 411
Basic Algorithm Example 414
Using Templates 415
Save Settings as a Template 416
Define Algo Conditions 416
TWS Guide 13
Contents
Create Multiple Algo Orders 418
Transmit and Modify the Algo 419
Monitor the Order Progress 420
About IB Algos 421
About IB Algos 422
Adaptive Algo 423
Arrival Price 425
Close Price Strategy 426
Dark Ice 428
Percentage of Volume Strategy 429
Price Variant Percentage of Volume Strategy 430
Size Variant Percentage of Volume Strategy 432
Time Variant Percentage of Volume Strategy 433
TWAP 434
VWAP 435
Minimize Impact 437
Balance Impact and Risk 437
CSFB Algos 439
CSFB Auction 439
CSFB Blast 440
CSFB Close 442
CSFB Crossfinder+ 443
CSFB Float 445
CSFB Float Guerrilla 447
TWS Guide 14
Contents
CSFB Guerrilla 450
CSFB Price Inline 453
CSFB I Would 455
CSFB Lightpool 458
CSFB Pathfinder 459
CSFB Pre/Post 460
CSFB Reserve 461
CSFB Sniper 463
CSFB Tex 466
CSFB TWAP 468
CSFB Volume Inline 471
CSFB VWAP 473
Jefferies Algos 476
Jefferies Blitz 477
Jefferies DarkSeek 478
Jefferies Finale 481
Jefferies Multi Scale 483
Jefferies Opener 486
Jefferies Pairs - Net Returns 489
Jefferies Pairs - Ratio 490
Jefferies Pairs - Risk Arb 492
Jefferies Patience 494
Jefferies Portfolio 497
Jefferies Post 500
TWS Guide 15
Contents
Jefferies Seek 503
Jefferies Strike 506
Jefferies Trader 509
Jefferies TWAP 510
Jefferies Volume Participation 514
Jefferies VWAP 517
Option Portfolio 521
Get Started 521
Define and Submit the Query 524
Constrain the Query Results 529
Evaluate the Solution 530
View What-if Risk in the IB Risk NavigatorSM 531
ScaleTrader 535
About ScaleTrader 536
ScaleTrader Summary and Status 537
Basic Scale Orders 538
Example 1: Basic Scale Order 541
Basic Scale with Profit Orders 542
Example 2: Scale order with Profit-Taking Orders 545
Scale Profit Orders with Initial Component 547
Example 3: Scale with Profit and Initial Component size 551
Scale Profit with Restore Size 553
Example 4: Scale order with Restore Size 556
Example 5: Restart ScaleTrader 558
TWS Guide 16
Contents
Example 6: Restart ScaleTrader with Filled Initial Component Size 559
ScaleTrader for Pairs 560
Use the ScaleChart 562
View Scale Progress 564
Scale Order Examples 565
Combo Orders 566
ScaleTrader Summary 567
Order Types 570
Basic Order Types 570
Limit 570
Limit if Touched 572
Limit-On-Close 573
Market 573
Market if Touched 574
Market-On-Close 575
Market-to-Limit 576
Stop 577
Stop Limit 578
VWAP 579
Advanced Order Types 580
Auto Trailing Stop 581
Bracket 583
Box Top 584
Conditional 585
TWS Guide 17
Contents
Funari Orders 587
IBDARK Orders 588
Iceberg/Reserve 589
Limit + Market 590
Market with Protection 591
Minimum Quantity 592
NYSEClosing Auction D-Quote 593
Passive Relative 594
Pegged-to-Market 596
Pegged to Midpoint 596
Pegged to Stock 597
Pegged to Benchmark 599
Price Improvement Auction 600
Relative/Pegged-to-Primary 602
Relative + Market 604
Retail Price Improvement Orders (RPI) 605
Snap to Market 606
Snap to Midpoint 607
Snap to Primary 608
Stop Order with Protection 609
T + 2 Stock Settlement 609
Trailing Stop 611
Trailing Stop Limit 612
Trailing Market if Touched 614
TWS Guide 18
Contents
Trailing Limit if Touched 615
Trailing Limit + Market 616
Trailing Relative + Market 618
Attached Orders 619
Attach a Beta Hedge Order 619
Attach a Delta Hedge Order 620
Attach an FX Order 622
Attach a Pair Trade 623
Auto Combo Limit Order 624
Auto Combo Market Order 625
Order Attributes 626
All or None (AON) 627
Block 628
Discretionary 628
From Mosaic: 629
From Classic TWS: 629
Hidden 630
One Cancels Other 631
One-Cancels-Other (OCO) 633
Sweep-to-Fill 634
Volatility Orders 635
Pegged-to-Primary Volatility Order 636
Pegged to Market Volatility Order 637
Pegged to Midpoint Volatility Order 639
TWS Guide 19
Contents
Pegged to Surface Volatility Order 640
Volatility Trading 642
Times in Force 645
Times in Force for Orders 646
Regular Trading Hours 648
Good After Time 649
Fill or Kill 650
Auction 651
Market-on-Open 652
Limit-On-Open 653
Classic TWS Quote Monitor 656
Add a Quote Monitor 659
Edit a Quote Monitor 660
Close All Positions 663
Add and Remove Fields 664
Restore and Save Page Settings 665
Organize Data on a Page 666
Create a Group Header 667
Field Sorting 668
Create the Portfolio Window 668
Group By 670
View Margin Requirements for a Position 671
Use the Feature Search 672
Use Quick Data 674
TWS Guide 20
Contents
Import Tickers from a File 675
Create TWS Color Grouping 678
Transfer Login Authentication 680
Enable Quick Stock Entry 680
Edit Dividend Schedule 682
Price and Size Wheels 684
The Price and Size Wands 685
Switch Exchange 687
Check Risk Pre-Order 688
View Futures Prices Term Structure 690
Receive Delayed Market Data 692
Add Market Data using Class or Symbol 693
Market Data Fields 694
Market Data Fields 695
Contract Description 696
News 697
Position and P & L 698
Prices 700
High/Low/Volume/History 704
ETF Columns 709
Futures Columns 712
Options 712
Bond Columns 714
Greeks Columns 717
TWS Guide 21
Contents
Auction 718
Dividend Columns 720
Fundamentals Popular 721
Fundamentals - Analyst Ratings 724
Fundamentals - Independent Ratings 725
Fundamentals Other 726
Stock Borrow/Loan 734
Graphic Prices 735
Wall Street Horizon Corporate Event Calendar 738
Short Selling Fields 739
Technical Indicator Columns 741
Order Management Fields 743
Order Management Fields 743
Customized Layout 743
Mandatory Columns 745
Contract Descriptions 745
Time in Force Columns 746
Quantity Columns 747
Price-based Columns 747
Actions Columns 748
Adjustable Stop Columns 748
Volatility Columns 749
EFP Columns 750
Pegged to Stock Columns 750
TWS Guide 22
Contents
Order Attributes Columns 751
Status Columns 753
Scale Order Columns 753
Trade Bonds 754
Trade US Corporate Bonds 754
Trade Treasuries 756
Trade US Municipal Bonds 757
Notes on Comparable Bonds 759
Trade Mutual Funds 760
Trade FX from the Trading Window 762
Realtime Activity Monitoring 764
The Account Window 765
The Account Window 766
Balances 770
Margin Requirements 773
Margin Warning 774
Available for Trading 777
Market Value - Real FX Position 780
FX Portfolio - Virtual FX Position 781
Portfolio 786
The Trade Log 792
The Trade Log 792
Introduction 792
Trades Summary 798
TWS Guide 23
Contents
Single-Line Complex Positions 799
Profit and Loss 801
Check Margin Pre-Order 803
Performance Profile 804
Understanding Performance Probability 806
Understanding System Colors 806
Text Colors 807
Background colors on a Market Data Line 808
Background colors on an Order Management Line 809
Order Status Colors 809
Alerts and Notifications 812
Set Time Alerts 813
Set Price Alerts 815
Set Margin Cushion Alerts 816
Set P&L Alerts 818
Set Percentage Change Alerts 820
Set Volume Alerts 822
Set Trade Alerts 824
Set up a Rebate Rate in Percent Alert 826
Create a Shortable Shares Alert 828
Assign Actions to Alerts 830
Set Price Movement Alarms 830
Set Volume Change-activated Alarm 832
Other Realtime Activity Tools 834
TWS Guide 24
Contents
Pending Orders Page 834
Trader Dashboard 837
Bulletins and System Status 838
Audit Trails 840
Best Price for Options using SmartRoutingSM 841
Price Risk Analytics 844
Risk Navigator 845
Understanding the Risk Navigator Interface 846
Open the Risk Navigator 847
Change Font Size 849
Risk Navigator Trader Personalities 850
Portfolio Relative P&L Graph 851
Risk Dashboard 855
Stock Yield On Demand 857
Create a Basket Hedge Order 858
Upload a Portfolio 860
Increase Memory Size for TWS 862
Find the tws.vmoptions File 862
Edit the tws.vmoptions File 863
Risk Navigator Products and Tabs 863
Equity Tab 864
Portfolio Report 864
Risk by Position Report 865
Risk by Underlying Report 866
TWS Guide 25
Contents
Risk by Industry Report 867
Risk by Country Report 868
Plot Data by Underlying 869
Measure by Underlying and Maturity 871
Measure by Price Change and Volatility Change 872
Portfolio Statistics Report 873
Value at Risk Report 875
P&L Pie Chart 876
Bond Tab 878
Risk by Position Report 878
Risk by Issuer 879
Risk by Industry Report 880
Risk by State Report 881
Risk by Country Report 882
Forex Tab 883
Portfolio Report 884
Risk by Position Report 885
Risk by Underlying Report 886
Plot Data by Underlying 887
Portfolio Statistics Report 889
P&L Pie Chart 891
Commodity Tab 893
Portfolio Report 893
Risk by Position Report 894
TWS Guide 26
Contents
Risk by Underlying Report 894
Plot Data by Underlying 895
Portfolio Statistics Report 897
P&L Pie Chart 899
Money Market Tab 901
Portfolio Report 901
Risk by Position Report 902
Risk by Underlying Report 902
Plot Data by Underlying 903
Portfolio Statistics Report 905
P&L Pie Chart 907
Structured Products Tab 909
Portfolio Report 909
Risk by Position Report 910
Risk by Underlying Report 910
Risk by Industry Report 911
Portfolio Statistics Report 912
Volatility Products 913
Volatility Products Tab 914
Relationship between the Equity/Commodity tabs and the Volatility Products tab on
Risk Navigator: 918
Aggregation of Volatility Products on the Volatility Products tab 918
Portfolio Report 918
Risk by Position Report 919
TWS Guide 27
Contents
Risk by Underlying Report 920
Risk by Industry Report 921
Plot Data by Underlying 922
Portfolio Statistics Report 924
P&L Summary 926
On Demand VaR 926
Margin Sensitivity 928
Risk Navigator Reports 929
Risk Navigator Reports 929
Report Designer 930
Market Scenario Drill Through 931
Use the Industry Editor 932
Risk Navigator Menus 934
Risk Navigator Portfolio Menu 934
Risk Navigator Edit Menu 934
Risk Navigator Report Menu 936
Risk Navigator Dimensions Menu 937
Report Metrics 938
Risk Navigator View Menu 948
Risk Navigator Settings Menu 949
Portfolio Beta Weighting 951
Beta Weighting in Risk Navigator 951
Reference Index for Beta Weighting 953
Edit Beta Values 954
TWS Guide 28
Contents
Beta Calculation Method Editor 956
Beta Risk Fields 957
Beta Weighting in the Portfolio Relative P&L Graph 961
What If and Custom Scenarios 964
Create a What-If Portfolio 964
Create Orders from a What If Portfolio 968
Handling Expired Positions 969
Custom Scenarios 969
Custom Scenario Examples 971
Risk Navigator Alarms 973
Risk Navigator Alarms 973
Option Portfolio Alarms in Risk Navigator 976
Option Analytics Window 977
Index Arbitrage Meter 980
Introduction 980
Implied Volatility Viewer 981
Open the Implied Volatility Viewer 982
Use the Implied Volatility Viewer 982
Remote Server Mode 984
Local PC Mode 985
Options Implied Volatility Term Structure 985
Model Navigator 986
Using the Model Navigator 987
Contract Description Pane 990
TWS Guide 29
Contents
Volatility Model Pane 991
Volatility Curve Table 993
Edit Interest Rates 994
Edit Dividends 996
Edit the Lending Yield 998
Edit the Volatility Profile 999
Model Price Color Key 1004
Fundamental Analytics 1006
Analyst Ratings (Summary) 1006
Ownership Tear Sheet 1008
Short Interest Tear Sheet 1010
Wall Street Horizon Data 1012
Reuters Data in Company Fundamentals 1015
Adding Reuters Fields to the Trading Window 1016
Technical Analytics 1018
Continuous Futures 1024
To generate normalized historical data series for Continuous Futures 1026
Mutual Fund/ETF Replicator 1027
Time and Sales Data 1029
Performance Profile 1032
Understanding Performance Probability 1034
Virtual Securities 1034
Price History 1035
Market Scanners 1037
TWS Guide 30
Contents
Advanced Market Scanner 1037
Market Scanner Types 1039
US Corporate and Municipal Bond Scanners 1047
Non-Subscribed Scanner Locations 1052
After Hours Scanner Snapshot 1053
TICK & TRIN Market Indicators 1054
Charts 1055
Create a Real-time Chart 1056
Chart Parameters 1057
Additional Data and Features 1059
Highlight on Chart 1062
Highlight on Y axis 1062
Vertical Buffer 1063
Chart Time Options 1064
Thumbnail Charts 1065
Time Period Charts 1066
Automatic Charts 1067
Chart Combos 1068
Reposition Charts 1069
Chart Multiple Assets 1070
Charts - Estimated Price Range 1073
Add New Chart to Existing Chart Window 1075
Save a Chart Layout as a Template 1077
Charting Expired Contracts 1078
TWS Guide 31
Contents
Charts Toolbar 1080
Editing Charts 1086
Chart Display 1089
Move the Right Margin 1089
Add Alerts in Charts 1090
Chart Types & Tools 1092
Chart Arithmetic 1092
IChartTrader 1097
Create a Bar Chart 1099
Create a Line Chart 1100
Apply Fibonacci Trend Lines 1101
View MarketWatch Historical Charts 1102
Chart Indicators 1103
Apply ADX/DMI Indicator 1108
Accelerator/Decelerator Indicator 1110
Apply an Accumulation/Distribution Line 1112
Apply an Accumulation Swing Index Study 1113
Adaptive Moving Average 1114
Arnaud Legoux Moving Average 1115
Apply an Aroon Oscillator Indicator 1116
1117
Apply an Aroon Up/Down Indicator 1118
Apply an Average True Range Indicator 1119
Awesome Oscillator 1120
TWS Guide 32
Contents
Balance of Power Indicator 1122
Bill Williams Alligator 1123
Bill Williams Alligator Oscillator 1125
Apply Bollinger Band Indicator 1126
Bollinger Band Width Indicator 1127
Apply Chaikin Money Flow Oscillator 1128
Apply a Chaikin Oscillator 1129
Chaikin Volatility Indicator 1131
Chande Kroll Stop 1132
Chande Momentum Oscillator 1133
Choppiness Index 1134
Chop Zone 1136
Connors RSI 1137
Coppock Curve 1138
Chande Volatility Index Dynamic Average (VIDYA) 1140
Apply a Commodity Channel Indicator (CCI) 1141
Detrended Price Oscillator 1142
Departure Chart 1143
Directional Movement Index 1144
Apply a Donchian Channels Indicator 1145
Apply a Donchian Channel Width Indicator 1146
Apply a Double Exponential Moving Average (DEMA) 1148
Ease of Movement Indicator 1149
Apply an Elder-Ray Indicator 1150
TWS Guide 33
Contents
Apply Envelope Indicator 1152
SMI Ergodic Oscillator 1153
Apply Exponential Moving Average Indicator 1154
Fast Stochastic Oscillator 1155
Fisher Transform Indicator 1157
Force Index 1158
Apply High Low Bands 1160
Historical Volatility Ratio 1161
Hull Moving Average 1162
Ichimoku Cloud 1163
Intraday Intensity Index Indicator 1164
Intraday Intensity Percent 1165
Apply a Keltner Channel Indicator 1166
Klinger Volume Oscillator 1168
Apply a Know Sure Thing (KST) Indicator 1169
Lane's Stochastic Oscillator 1172
Least Squares Moving Average 1174
Linear Regression Curve 1175
Linear Regression Indicator 1176
Linear Regression Intercept 1177
Linear Regression R-Squared 1178
Linear Regression Slope 1179
Apply MACD Indicator 1180
Apply a Mass Index Indicator 1181
TWS Guide 34
Contents
McGinley Dynamic 1183
Apply a Momentum Indicator 1184
Moving Average Crossover 1185
Apply a Moving Standard Deviation Indicator 1187
Apply a Negative Volume Index Indicator 1189
Net Volume Indicator 1191
Apply an On Balance Volume Indicator 1192
Apply Parabolic SAR Indicator 1193
Percentage Price Oscillator 1195
Percentage Volume Oscillator 1196
Percent B Indicator 1197
Performance Indicator 1198
Pivot Points 1200
Pivot Points High/Low 1201
Apply a Positive Volume Index (PVI) Indicator 1203
Price Oscillator 1205
Price Volume Trend Indicator 1206
Raff Channel Indicator 1207
Apply Rate of Change Indicator 1208
Relative Momentum Index 1209
Apply a Relative Strength Indicator 1210
Relative Vigor Index 1211
Relative Volatility Index 1213
Stochastic RSI Indicator 1214
TWS Guide 35
Contents
Apply Simple Moving Average Indicator 1215
Slow Stochastic Oscillator 1216
Standard Deviation Channel 1218
Apply a Stochastic Oscillator Indicator 1219
Swing Index 1220
Apply a Triangular Moving Average (TMA) Indicator 1221
Apply a Triple Exponential Moving Average (TEMA) Indicator 1223
TRIX Indicator 1224
True Strength Index 1225
Typical Price Indicator 1227
Apply an Ultimate Oscillator Indicator 1228
Variable Moving Average 1229
Vertical Horizontal Filter 1231
Volatility Stop 1232
Volume Exponential Moving Average 1233
Apply a Volume * Price Momentum Oscillator (PMO) Indicator 1235
Volume Oscillator 1236
Volume Rate of Change Indicator 1237
Volume Weighted Moving Average 1239
Vortex Indicator 1240
Wilder's Moving Average 1241
Apply a Williams Oscillator Indicator 1242
Weighted Close 1243
Apply Weighted Moving Average Indicator 1245
TWS Guide 36
Contents
Zig Zag Indicator 1246
Bond Indicators 1247
Bond Search Query 1247
Using the Query Criteria 1248
Bond Search Scatter Plot 1251
Bond Details Table 1252
Export Bond Details to Risk Navigator 1253
Global Configuration 1256
Using Global Configuration 1258
eSignal Market Data 1260
Connectivity 1261
Market Data 1261
General Configuration 1261
General 1262
P&L Time Zone 1263
Browser 1264
Language and Region 1264
Table editing 1264
Configure Auto Export 1264
HotKeys 1267
Configure Lock and Exit Parameters 1273
Exit Options 1274
Auto Logoff Timer 1275
Display TWSMessages 1275
TWS Guide 37
Contents
Quick Stock/Bond Entry Exchange Configuration 1276
Assign Sounds to Events 1278
Configure Volatility and Analytics Settings 1279
Volatility 1280
Analytics 1281
API Configuration 1282
API Settings 1283
General 1284
Trusted IP Addresses 1285
API Precautions 1285
Display Configuration 1287
Display Settings 1287
Display Settings 1288
Windows Handling 1290
Page Handling 1290
Tooltips 1290
Blink "Trades" toolbar icon after trades 1291
Options Colors 1291
Style Settings 1291
Ticker Row Settings 1293
Ticker Row Settings 1294
Home Exchange 1295
Fixed Income Minimum Size Increment 1295
Fixed Income Pricing 1295
TWS Guide 38
Contents
Forex Size Display Settings 1296
Position and P&L Display Settings 1296
1297
Borrow/Loan Rate Format 1297
Volume Column Display Settings 1297
Native/Calculated Index Prices 1298
Market Data 1298
Date Formats Configuration 1298
Toolbar 1299
Configure Trading Tools 1301
Accumulate/Distribute 1302
BasketTrader 1303
BookTrader 1304
Components 1306
Price Ladder Status Column 1306
Price Ladder Order Control 1306
Re-center 1307
Hotkeys 1308
Buttons 1309
Quote Panel 1309
Order Columns 1309
Trade columns 1309
BookTrader Colors 1309
BookTrader Sound Manager 1309
TWS Guide 39
Contents
FXTrader 1309
Settings Page 1311
Components 1311
General 1311
Position Information and Cell Layout 1311
OptionTrader 1312
Settings 1313
Portfolio Window 1315
Settings 1315
Trade Columns 1316
Order Management 1316
Market Value 1316
Configure the Quote Monitor 1316
Create a Page Layout 1316
Apply a Page Layout 1318
Edit a Page Layout 1319
Display Market Data Columns 1321
Configure Columns 1323
Display Order Management Columns 1324
Rearrange Trading Page Columns 1326
Change Background and Text Colors 1327
Modify Rapid Order Entry Settings 1328
1331
Configure Information Tools 1331
TWS Guide 40
Contents
Configure Alerts 1331
Hotkeys 1333
Configure Alerts 1333
Hotkeys 1335
Configure Market Depth 1335
Settings 1336
Components 1336
Configure News Feeds 1337
Time & Sales 1339
Trader Dashboard 1339
Configure Charts 1341
Charts Settings 1341
Display 1342
Create multiple charts as 1344
Layout 1345
Highlight on ... 1345
What to show when switching contract 1346
Trendlines 1346
Tooltips 1347
Graphical position indicator 1349
Order Display 1349
Miscellaneous 1350
Charts Toolbar 1352
Charts Colors 1353
TWS Guide 41
Contents
Charts Quote Zone 1355
ChartTrader 1356
Orders 1357
Orders - Default Settings 1357
Configure SmartRouting 1360
Routing Configuration 1362
Seek Price Improvement 1362
Pre-Open Re-route 1363
SMART Stock Routing Algorithms 1363
SMART Option Routing Algorithms 1364
Try to post where the order will be on the top 1364
Configure IB Algo Favorites 1365
Order Presets 1365
About Order Presets 1366
The Hierarchy 1366
Create Order Presets 1369
Define Order Preset Values 1372
Primary Order Settings 1374
Scale and Adjusted Stop Fields 1376
Target Order (Profit-taker) Settings 1379
Attached Stop Order Settings 1380
Miscellaneous Defaults for Presets 1382
OCA Group Defaults 1385
Define Precautionary Settings 1385
TWS Guide 42
Contents
Algorithm Settings 1388
Default Display Settings 1389
Using Presets from the Trading Window 1390
Modify the Stop Trigger Method 1393
Configure the Account Window 1397
Features 1398
Introduction 1398
Open the Feature Selector 1398
Enable Features through Menus 1399
Workspaces and Panels 1400
Introduction 1400
Menus 1402
Mosaic Menus 1402
Classic TWS Menus 1402
Simplified View for Classic TWS Menus 1403
Mosaic Menus 1403
Mosaic File Menu 1404
Mosaic Account Menu 1405
Mosaic Help Menu 1408
Classic TWS Menus 1410
Classic TWS File Menu 1411
Classic TWS Edit Menu 1413
Classic TWS Trade Menu 1415
Classic TWS Account Menu 1417
TWS Guide 43
Contents
Classic TWS Trading Tools Menu 1419
Classic TWS Analytical Tools Menu 1423
Classic TWS View Menu 1427
Classic TWS Help Menu 1429
Classic TWS Right-Click Menu from a Blank Line 1431
Classic TWS Right-Click Menu from a Market Data Line 1433
Classic TWS: Right-click on an Order Management Line 1437
Simplified View TWS Menus 1442
Simplified TWS: File Menu 1442
Simplified TWS: Trade Menu 1444
Simplified TWS: Account Menu 1446
Simplified TWS: Help Menu 1449
Exercise and Rollover 1452
Automatic Rollover of Expiring Futures Contracts 1452
Option Exercise with Notifications 1453
Notification of Dividend-Related Early Exercise 1455
Display of Short Positions 1455
Exercise Options - Manual File 1455
Allocations and Transfers 1458
Soft Dollar Commission Tiers 1458
FTP File Instructions 1460
Sample Trade File 1461
Stocks 1461
Options 1461
TWS Guide 44
Contents
OSI Details 1462
Futures, Future Options and Single Stock Futures (SSFs) 1462
HK Stocks 1464
NOTES: 1465
WinSCP Store Session 1466
Give-up 1467
IBExecution Services 1467
IBExecution Services from an Order Line 1469
Configure a Default Give-Up 1471
Short Sale Confirmation 1472
Pre-Trade Allocations 1473
Create an Order for Multiple Clients 1474
Allocating Shares 1476
Rebalance for Advisors 1477
Edit Inline Profile on Rebalance 1479
Create an Account Group for Share Allocation 1480
Create a Share Allocation Profile 1484
Import and Export Groups and Profiles 1486
Edit a Share Allocation Profile 1490
Set Default Allocations 1491
Default Clearing for Allocation Profiles 1493
Model Portfolios 1498
Set up a Model Structure 1499
Initial Funding and Populating 1500
TWS Guide 45
Contents
Establish Target Percent Allocations 1500
Fund a Model 1502
Purchase Model Investments 1505
Models and Positions 1507
Invest in a Model 1509
Invest in Multiple Models 1509
Divest Funds from a Model 1512
Withdraw Cash from a Model 1514
Rebalance a Model 1515
Reallocate Client Funds Among Models 1517
Monitor Model Activity 1519
Delete a Model 1520
Index 1523
TWS Guide 46
1
Get Started
Start trading right away.
Log In to TWS 47
Add Market Data 49
Option Selector 52
Create an Order 53
Modify an Order 55
Transmit an Order 57
Cancel an Order 59
Add a Quote Monitor 61
Add and Remove Fields 62
Pause Execution 63
Use the Integrated Search Tool 63
Log In to TWS
Before you can log into TWS, you need to download and install the TWS software. Downloads
are accessed using the Login button in the top right corner of the web site.
Download Software
From the TWS Software page, choose from any of the software versions in the top row. Simply
click a version to go to the Download page. Follow the simple instructions to install.
Once you install any version, you will have access to all of the other TWS versions when you
log in. See instructions below to switch between versions.
To log in to TWS
TWS Guide 47
Chapter1 Switch between stable, Latest and Beta versions
Double-click the Trader Workstation icon that was placed on your desktop during installation.
Enter your User Name and Password.
From the Trading Mode selector box, choose to log into Paper or Live TWS.
Click the Login button at the bottom of the window.
Switch between stable, Latest and Beta versions
You can switch versions of the application between stable, Latest and Beta TWS without
having to download additional software.
In the bottom left corner of the Login box, click More options.
In the Version selector box, choose Stable, Latest or Beta.
Click the Apply & Restart button next to the Version selector.
Log in to the new version.
Offline TWS
To use a version that does not update automatically but requires manual updating for new
features, download the Offline TWS installer from the TWS Software page.
TWS Guide 48
Chapter1 Add Market Data
Add Market Data
When you first open the Classic TWS interface, a sample Quote Monitor displays several
sample lines of data. Before you trade an asset, youll want to be able to see streaming data for
the asset. A market data line represents an individual ticker, and displays the product type,
order destination, ask and bid prices, and any other defining attributes. You can add a market
data line by typing a symbol directly into the Contractcolumn of the Quote Monitor.
Note: Enter security definitions by entering the exchange contract class or contract
symbol in the Contract field. Enter forex pairs using the syntax xxx.yyy in the Contract
field.
TWS Guide 49
Chapter1 Option Selector
To add market data to the Quote Monitor
1. Click in the Contract field in an empty row.
2. Enter an underlying symbol and press ENTER.
3. Select an asset type from the picklist on the trading screen.
If you choose Smart as the exchange (rather than selecting Directed and then picking a
destination) the market data is aggregated and the default order routing is Smart. From a
display perspective, ticker lines that use aggregated Smart data do not display Smart in
the data line. TWSwill only show the exchange if you elect to direct route. When you
create an order, regardless of the market data selection you can modify the order routing
destination on a per-order basis using the Destinationfield.
Option Selector
TWS Guide 50
Chapter1 Option Selector
4. In the Contract Selection box, select a contract(s) and click OK. For assets requiring
right, expiry and strike price, use the Selector box. In-the-money contracts are highlighted.
Use the Smart dropdown to choose a single exchange.
Notes about Market Data use
A market data line is considered active when visible.
Each alarm that you set always uses one line of market data whether or not you are viewing
the asset that contains the alarm.
Market data requested through an API has top priority, followed by data requested by
alarms, and finally basic market data display. This means that if you are viewing a trading
page that includes 100 lines of market data, and you also have price-activated alarms set for
6 other contracts, those 6 contracts will receive market data, and your trading page will only
show data for 94 contracts.
The option chains in the OptionTrader do not count against available market data lines.
For details on market data fees and allocation rules, see theMarket Data and News
Subscriptions overview on the IB web site.
TWS Guide 51
Chapter1 Option Selector
Note: If you add a market data line for a derivative instrument, will ask if you want the
underlying symbol added to the page. If you answer yes, it will be included above its
derivative.
Option Selector
The contract selector for options, which is invoked when you add an option ticker to a page, has
been drastically redesigned. Add an underlying and select "Option" to open the Option
Selector. Available expiries are listed in a tabset across the top. By default the next four
quarterly expirations are listed in a white font. Click on the tab titled 'more' to the right to display
all available expirations, and a final selection box where weeklies and quarterly expirations are
available. When selected, the next four weekly expirations will populate the tabs in yellow.
Deselect the weeklies/quarterly check box from the 'more' tab to return to the regular quarterly
expiration series.
The current underlying last price and change are in the top right corner and the available,
selectable options-per-expiry are listed vertically.
The IV reading for the selected weekly or monthly contract is displayed in the upper right.
TWS Guide 52
Chapter1 Create an Order
Use the 'Smart' dropdown to select a specific exchange if needed.
In-the-money contracts are highlighted using a default grayscale. Lighter shades of gray
relate to out-of-the-money calls and puts while darker shades reflect closer to-the-money
contracts.
Hovering over the strike price reveals a popup box detailing the Standard Deviation relating
to the required movement from the prevailing price of the underlying to reach the strike price.
(Note that Standard Deviations can also be plotted on IB interactive charts using the selec-
tion in the Chart Parameters box).
Strike price color-coding can be configured to fall colors (orange and brown) by clicking on
the wrench icon and changing from grayscale to fall.
Configure further according to sensitivity to stock price movement. Choose between 1, 2 and
3 Standard Deviations or 1.0, 1.5, 2.0, 2.5 and 3.0 SDs.
Click on any call or put to add it to a main TWS page. Each line added will be color-coded in
either green or pink to designate in-and out-of-the-money options, respectively.
Create an Order
There are many ways to create an order in TWS. This topic shows you how to create and
transmit an order directly from a ticker line in the Quote Monitor.
TWS Guide 53
Chapter1 Create an Order
To create and transmit an order from the Quote Monitor
1. Click the Ask or Bid in a market data line to create an order line directly below the selec-
ted ticker.
Click the Ask to create a Buy order.
Click the Bid to create a Sell order.
2. On the Order line, modify the order parameters including Time in Force, Action, Quantity,
Price, Order Type, or Destination, if needed.
Note: To trade more efficiently by using default values, create order Preset
strategies using the Order Presetsin Global Configuration.
3. To transmit your order, click Transmit (or T if you have reduced the size of the Transmit
field).
Show Orders
By default, a working order will display on any page that has the ticker. You can modify where
you want working orders to display using the Page settings.
TWS Guide 54
Chapter1 Modify an Order
4. Right click a tabbed title and select Settings.
Show only orders created on this page - Regardless of the tickers, only the orders you cre-
ate from this page will display on this page.
Show inactive orders only, move active orders to Pending page - Shows deactivated or
non-transmitted orders only. Working orders created from this page will only display on the
Pending page.
Modify an Order
You can modify an order up until the time it fills. Until this occurs, the order remains visible and
editable.
TWS Guide 55
Chapter1 Using Mosaic
Using Mosaic
Working orders appear in the Orders panel, and can be edited by clicking the appropriate field.
Using Advanced Order Entry
The order line appears below the ticker on the page on which it was created, and on the
Pending page. An order is working if the order status is green.
VWAP orders are accepted immediately and cannot be modified.
To modify a working order
1. On an order line, click in the field you want to modify, and make your change.
Orders that have child orders associated with them, such as bracket or scale orders,
cannot have the order side flipped. Orders than can be flipped will note this using
(Reverse) next to the opposite-side action in the Action drop-down. When you flip the
order side, a cancel request is sent for the original order and both the original with the
cancel request and the new reversed order are displayed.
TWS Guide 56
Chapter1 Transmit an Order
2. Click Update in the Transmit column to transmit your modified order.
To undo changes before you transmit, right-click and choose Discard Modifications.
Note: You may receive a fill on the original order before your modified order has
replaced it on the exchange. Please see the Customer Agreement for specific details on
modifying and canceling orders.
Transmit an Order
Once you have verified the order parameters on an order management line, you are ready to
transmit your order.
TWS Guide 57
Chapter1 Transmit an Order
To transmit an order
Click Transmit (or T if you have reduced the size of the field) in the Transmitfield, or
Use the right-click menu on the order line and select Transmit.
When an order is accepted at the destination, it becomes a working order. All working orders
appear on the Pending page. A red tab title indicates that the page holds a working order.
TWS Guide 58
Chapter1 Cancel an Order
To transmit multiple orders
From the Trademenu select Transmit, and then select:
Transmit Selected Orders to submit the orders you have selected on the current page
Transmit All Orders on Pageto send all of the orders on the current page. The dollar value
in parenthesis reflects the total value of all orders on the page.
Transmit All Orders to submit all orders in TWS.
Cancel an Order
For a working order, the Cancelcommand sends a cancellation request to the order
destination. See the Order Status Colorspage for the meaning of status colors on an order
management line.
For a non-transmitted order, use the right-click Discardcommand to delete the selected order
(s) from your trading screen.
TWS Guide 59
Chapter1 Cancel an Order
You can cancel any working order up until the time it has been executed at an order destination.
You can also choose to cancel all orders on a page or all orders on your workstation.
To cancel a working order
1. From the Trademenu select Cancel, and then select:
Cancel Selected Orders to submit a cancel request for the order(s) you have selected
on the current page
Cancel All Orders on Pageto cancel all working and non-submitted orders on the cur-
rent page.
Cancel All Orders to submit a cancel request for all orders in TWS.
Or,
2. Click Cancel (or C if you have reduced the field size) in the Cancel field.
For information on the colors displayed in the Status field, see the Order Status Colorstopic.
TWS Guide 60
Chapter1 Add a Quote Monitor
Note: Your working order is not confirmed CANCELED until the status field turns red.
Please see the appropriate Customer Agreementfor further information on order
confirmation/cancellation.
Add a Quote Monitor
There is no limit to the number of Quote Monitors you can create in TWS. You can enter as
many lines of market data as you want, but at any one time you will only be able to see 100
active market data lines at a time. For details, see Notes about Market Data use. Use the Quote
Monitors to sort your assets by instrument type, exchange, or your own trading system
categories. You can navigate through the tabbed pages without the mouse by using the Ctrlkey
along with the Page Upand Page Downkeys.
To detach a page, simply click the tab and drag the page away from the tabset.
To create a new page, click the + sign and select Quote Monitor
To delete a page, click the X.
To rename a page, right-click the page title and select Rename Page.
TWS Guide 61
Chapter1 Add and Remove Fields
You can also use a page-level feature called Quick Stock Entry, which will automatically
complete a market data line for a stock using the set of order destinations you set up.
To add a Portfolio Page
You can create a system-maintained Quote Monitor that includes a data line for each position in
your portfolio. Use the right-click menu from the + sign and select Portfolio Window. The
portfolio page can only be created once.
This creates a page with the same positions that are displayed in the Portfolio section of the
Account window. Each time you take a position, the Portfolio page is automatically updated to
include market data for the new position. When you zero out a position, the market data line
remains on your Portfolio page. You can remove zero position tickers from this and other pages
using the right-click menu on a page and selecting Clear Zero Position Rows.
Add and Remove Fields
You can quickly add and remove fields from most windows by holding your mouse over the field
name to invoke the insert/remove column commands.
To add or remove columns from a window
1. Hold your mouse over a field to invoke the quick insert/remove commands.
2. Click the + icon to insert a column to the left of the selected column. Pick from the drop-
down picklist that appears when you click "Insert Column."
3. Click the x icon to remove the selected column from the window. You can re-add it at any
time.
TWS Guide 62
Chapter1 Pause Execution
You can choose not to see these icons by deselecting the feature"Quickly insert/remove
columns from column headers" from the Display>Settings page in Global Configuration.
Pause Execution
When you pause a working order, a cancel request is submitted to the exchange and the order
is put into an inactive state but remains available on the Orders panel (Mosaic) or Quote Monitor
(Classic) for you to resubmit at any time.
To pause execution on an order
Right-click a working order and select Pause Execution.
Use the DTC time in forceto deactivate a day order that has not executed by the close of the
market.
Use the Integrated Search Tool
The Integrated Search Tool in the top right corner of the anchor window lets you search for tools
and features in the application as well as for contracts in our database to add to your trading
pages. Check "Application" and select from the list of findings to go directly to your destination.
Check "Contracts" and select to add an instrument directly to your trading page.
TWS Guide 63
Chapter1 Use the Integrated Search Tool
Search for a feature or instrument
1. Enter the name of the feature, instrument or type of instrument you are looking for.
2. Check Application, Contract or both.
3. Click the return that matches your search criteria.
TWS Guide 64
Chapter1 Use the Integrated Search Tool
When you use the The search will open and focus in on the feature, or begin adding the
instrument to the trading page.
TWS Guide 65
2
Mosaic
The Mosaic workspace provides all of your trade, quotes, analytics and research and account
information within a single easy-to-use framework.
Understanding the Mosaic Interface 68
The Mosaic Interface 68
The Anchor Window 69
Mosaic Fonts 71
Templates 72
Trade in Mosaic 73
The Order Entry Window 73
Advanced Orders Panel 75
The Portfolio 94
Portfolio Performance Profile 96
The Orders Window 98
Strategy Builder 99
Quotes and Data in Mosaic 100
The Watchlist 101
Predefined Watchlists 102
Market Depth 103
Time & Sales Data 104
Price History Window 108
Option Chains 109
TWS Guide 66
Chapter2 Mosaic
The Quote Details Window 110
FX Matrix 110
SLB (Stock Loan Borrow) Rates 112
Technical Analytics 113
Portfolio Builder 114
Mosaic Market Scanners 117
Predefined Mosaic Market Scanners 123
Mosaic Market Statistics 128
Advanced Market Scanner 129
Complex Orders and Trades Scanner 130
Mutual Fund/ETF Replicator 132
Options Analysis 135
Implied Volatility Tab 136
Historical Volatility Tab 139
Industry Comparison 140
Portfolio Analyst 166
Wall Street Horizon Data 166
The Toolbox 168
IB Information System 169
Event Calendars 170
Fundamentals 175
Analyst Ratings (Summary) 177
Short Interest Tear Sheet 178
Ownership Tear Sheet 180
TWS Guide 67
Chapter2 Understanding the Mosaic Interface
Mosaic News Panel 182
Analyst Research 192
Understanding the Mosaic Interface
Details on using and customizing the Mosaic interface.
The Mosaic Interface 68
The Anchor Window 69
Mosaic Fonts 71
Templates 72
The Mosaic Interface
The Mosaic workspace is completely customizable, with a drag and snap functionality that lets
you easily align new windows to the default workspace. The "grouped window" layout allows
you to size and move the Mosaic workspace as a single unit, and the workspace remains
locked until you deliberately unlock it to add, move or delete windows. See Workspace Modes
for more information.
Windows are linked by the colored grouping link in the upper right corner of each window, and
groups can be changed while the workspace is locked. Grouped windows all reflect the same
underlying.
The Mosaic workspace provides comprehensive order entry and order management
functionality that includes charts, watchlists, quote details, market scanners, and your account
information. If you want to add a window, simply unlock the workspace and open the window
from the New Window drop-down. Drag the window alongside the Mosaic; it automatically
snaps into place. Be sure to lock the workspace when you have finished editing to avoid
inadvertently deleting or moving a window.
TWS Guide 68
Chapter2 The Anchor Window
The Anchor Window
The Anchor Window is the control center of the workspace.
Use the New Window drop down list to open more tools.
View Event Calendars, News and Analyst Research.
Click the FYI button to see new notifications and to configure FYIs. The red badge tells you
how many new notifications are waiting.
Quickly adjust the font size across the entire interface.
Unlock the workspace to make changes like adding, removing and rearranging windows.
Use the Integrated Search Tool to find tickers from the contract database and to find tools
within the application.
TWS Guide 69
Chapter2 The Anchor Window
The Mosaic workspace is a grouped selection of tiles and tools that, by default, function as a
unit within the layout.
Windows within the workspace cannot be inadvertently closed or repositioned. You must
unlock the workspace to make changes.
When the workspace is re-sized all included windows will re-size and scale appropriately
within the layout.
Use the font size adjustor to make the font larger or smaller within the entire workspace.
Maximize windows inside the workspace by double-clicking the titlebar, with no need to
unlock the interface first. For example, you may want a better look at your chart. Double-click
to see a large version, then double-click again to put the chart back into its spot.
The Mosaic has two editing modes: Locked and Unlocked.
By default, the Mosaic workspace is in "locked" mode when you launch the tool. When the
workspace is locked, it acts as a single, grouped unit. You cannot add, remove, re-size or move
any component windows, but you can re-size the entire workspace, and each component
within will be scaled accordingly. Note that you can, however, modify windows grouping
assignments. We lock the workspace by default to avoid potential issues of inadvertently
deleting and moving individual components.
If you want to rearrange the windows, add or remove windows, or re-size individual component
windows, click the Lock icon to unlock the workspace.
TWS Guide 70
Chapter2 Layout Locked
Layout Locked
When the Mosaic layout is locked, the workspace is outlined in black and the lock label
indicates the status. Keep the layout locked until you need to add, remove or resize individual
windows.
To unlock the layout for editing
Click the "lock" icon located to the left of the search field.
Layout Unlocked
When the Mosaic layout is unlocked, the workspace is outlined in green and the lock icon
appears to be open to indicate the status. When unlocked, windows within the workspace frame
act as separate, ungrouped windows, and you are able to remove them, re-size them, and add
new windows to the layout frame.
Be sure to always lock the workspace when you have finished editing to avoid unwanted
changes or deletions to the Mosaic. You will not be allowed to exit the application if the
workspace is unlocked.
To lock the layout
Click the "lock" icon
Mosaic Fonts
Quickly make the Mosaic windows font larger or smaller.
TWS Guide 71
Chapter2 Templates
To adjust font size throughout Mosaic
From the Anchor window, click the Font Size Adjustment icon.
Click "Smaller" or "Larger" until the font size is correct. Notice that the font size changes in the
Mosaic as you click the button.
If "Adjust window & column widths" is checked, the Mosaic windows will size automatically to
keep the same font:window ratio. If unchecked, only font size will change.
Click Close when done.
Templates
You can add multiple Mosaic-based workspaces using the Templates command from the New
Window drop down, the New Window Group command on the Mosaic File menu, or by clicking
the "+" sign along the bottom of the frame.
Adding a template creates a Mosaic workspace based on the original Mosaic layout.
Creating a workspace from the New Window command or by clicking the "+" sign creates a
customizable but blank unlocked workspace.
TWS Guide 72
Chapter2 Trade in Mosaic
The customizable workspace opens with a green line outlining it. Add windows to the
workspace using the New Window drop down. When you are finished designing the
workspace, click the lock icon to lock the design.
You can only have a single Classic TWS workspace. This command is grayed out if you
already have a Classic TWS tab.
Trade in Mosaic
The Mosaic trading tools make it easy to create, submit and modify orders.
The Order Entry Window
Use the Order Entry window to create and then Submit or Save an order. It's linked via windows
color grouping to other windows, which means that when you choose an instrument from
another window in the group, the Order Entry is "loaded" with that instrument and ready to
submit an order. It's easy to change the asset by selecting from the drop down list of previously
TWS Guide 73
Chapter2 The Order Entry Window
used instruments, or typing in a new one manually. To set up an option order, click the Option
Chain button to easily pick an option contract.
The Order Entry tile comes in different modes, and you can modify the mode to fit your trading
style. The above image shows the Interactive mode.
To change the Order Entry mode
Click the configuration wrench icon in the top right corner of the panel's title bar and select
Settings.
Select the Order Entry tool style. Choose from:
Interactive: Enables the clickable "Position" and "Bid/Mid/Ask" ruler to fill in order para-
meters.
Simplified: Smaller display with fewer selections.
Rapid Transmit: Quickly submit the order by clicking the Sell or Buy button. This version
does not include a "Submit" button.
TWS Guide 74
Chapter2 Advanced Orders Panel
Advanced Orders Panel
Click the "advanced" icon from the Order setup line to use stop loss, profit taker and bracket
orders, set up Iceberg, One Cancels Other and hedge orders, and apply other advanced order
attributes.
Routing
Iceberg Orders
Order Reference
All or None Attribute
Stop Loss
Bracket
Profit Taker
OCO (One Cancels Other)
Hedge Order
Check Margin
See Performance Profile
Use the Advanced Orders panel to:
TWS Guide 75
Chapter2 Routing
What? How?
Routing Click SMART
and choose a
Select a new routing destination.
destination
from the drop-
down list.
Back to top
Iceberg Click in the
field and enter
Create an iceberg order, which displays only a user-specified order size
a partial quant-
to the market.
ity of the order.
This quantity
will be dis-
played to the
market.
Back to top
Order Reference Click in the
field to make it
Add a reference number that helps you track the order through its
editable then
lifecycle.
enter a ref-
erence num-
ber.
Back to top
All or None Attribute Check to apply
the "All or
Specify that either all of the order executes or none of it executes.
TWS Guide 76
Chapter2 Attach a Stop Loss
What? How?
None" attribute
to the order.
Back to top
Attach a Stop Loss Click "Attach
Stop
Attach a Stop Loss order to the original order.
Loss/Profit
Taker/Bracke
t."
Check the
"Stop Loss"
box only.
In the STOP
Back to top field, modify
the stop type
(stop, stop limit
or trailing stop)
as needed.
In the STP
PRC field
enter the stop
price.
In the DAY
field modify the
time in force as
needed.
TWS Guide 77
Chapter2 Attach a Bracket
What? How?
Click "more" to
modify the
routing
destination
and/or add an
order
reference.
Attach a Bracket Click "Attach
Stop
Attach a Bracket order to the original order. This brackets the order with
Loss/Profit
two opposite-side orders, and is designed to help limit loss and lock in
Taker/Bracke
a profit.
t."
Check
"Bracket." The
Profit Taker
and Stop Loss
boxes will be
checked
Back to top automatically.
Modify the
child orders.
Profit Taker
Child
Specify Limit
or Relative as
the opposite-
side Profit
Taker order
TWS Guide 78
Chapter2 Attach a Bracket
What? How?
type.
Enter a limit
price. For a
relative order,
this is the price
cap.
For relative
orders, enter
the offset if
desired.
Specify the
time and force
and other
parameters as
needed.
Stop Loss
Child
In the STOP
field, modify
the stop type
(stop, stop limit
or trailing stop)
as needed.
In the STP
PRC field
enter the stop
price.
TWS Guide 79
Chapter2 Attach a Profit Taker
What? How?
In the DAY
field modify the
time in force as
needed.
Click "more" to
modify the
routing
destination
and/or add an
order
reference.
Attach a Profit Taker Click "Attach
Stop
Attach a profit taker child order to the original order. The profit taker is
Loss/Profit
an opposite-side limit or relative order.
Taker/Bracke
t."
Check the
"Profit Taker"
box.
Specify Limit
or Relative as
Back to top the opposite-
side Profit
Taker order
type.
Enter a limit
price. For a
TWS Guide 80
Chapter2 One Cancels Other
What? How?
relative order,
this is the price
cap.
For relative
orders, enter
the offset if
desired.
Specify the
time and force
and other
parameters as
needed.
One Cancels Other Click "One
Cancels Other"
Include the order in a one-cancels-other order group.
to expand the
panel.
Change the
order side if
necessary. By
default, the
order side is
the same as
that of the
original order.
Click
"Contract" and
enter the
underlying.
TWS Guide 81
Chapter2 One Cancels Other
What? How?
Back to top Specify the
order type,
quantity, price
and time in
force.
To add more
orders to the
group, click
+Add Order
and follow
steps 2 - 4
above.
If an order
completely
fills, other
orders in the
group are
canceled. The
On Fill: box
instructs TWS
what to do if an
order in the
group is
partially filled.
Use the drop
down selector
to choose the
action:
TWS Guide 82
Chapter2 One Cancels Other
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TWS Guide 83
Chapter2 One Cancels Other
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TWS Guide 84
Chapter2 One Cancels Other
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TWS Guide 85
Chapter2 One Cancels Other
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TWS Guide 86
Chapter2 One Cancels Other
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TWS Guide 87
Chapter2 One Cancels Other
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TWS Guide 88
Chapter2 One Cancels Other
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TWS Guide 89
Chapter2 One Cancels Other
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TWS Guide 90
Chapter2 Attach Hedging Order
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Attach Hedging Order Click "Hedge"
to expand the
Attach a hedging order to the parent order. Choose from Beta, FX, or
panel.
Pair Trade hedge. The hedging order will transmit when the parent
order fills. In the drop
down list,
select the
hedge type
and check the
box next to the
order type
field.
a. Beta
TWS Guide 91
Chapter2 Attach Hedging Order
What? How?
Back to top Hedge -
specify
the
hedging
contract,
the order
type
(limit,
market or
relative),
the beta
(change
default
beta if
required),
and the
time in
force.
b. FX Order
- specify
the forex
pair, the
order
type
(limit,
market or
relative),
and the
time in
TWS Guide 92
Chapter2 Attach Hedging Order
What? How?
force.
c. Pair
Trade -
specify
the
hedging
contract,
the order
type
(limit,
market
relative,
or RPI
(avail-
able if
the con-
tract is lis-
ted on
NYSE),
the offset
(required
for
RPIorde-
r), the
ratio (the
original
contract
is "1" so
TWS Guide 93
Chapter2 Check Margin
What? How?
if you
enter "2"
the
hedging
order
quantity
will be
twice that
of the ori-
ginal
order, or
2:1) and
the time
in force.
Check Margin Click "Check
Margin."
Check the margin requirements for the order before you submit it.
Back to top
The Portfolio
The mosaic Portfolio window, which is included in the grouping of Monitor Panel tabs along
with the Mosaic Market Scanners and the Watchlists, provides key account information.
The Portfolio window is a "source" for windows grouping, which means that when you select an
asset all linked windows will display that asset.
TWS Guide 94
Chapter2 The Portfolio
TWS Guide 95
Chapter2 Portfolio Performance Profile
To open the Portfolio for the first time
From the Monitor panel, click "+" sign to add a new page.
From the drop down list, select Portfolio.
Once you add the Portfolio to your Monitor list, it will be available as a tab. If you can't see it
displayed along the top of the Monitor panel, hold your mouse over any tab to expand the tabset
and see all available tabs.
Portfolio Performance Profile
This what-if feature allows you to toggle the Mosaic Portfolio window into "what-if" mode and
add or remove hypothetical positions to and from your existing portfolio to see how these
changes will affect key portfolio metrics, including P&L, Delta and the Greeks and Value at
Risk. If you like the performance results from the hypothetical adding or removing of any
positions, you can create and submit real orders to add these positions to your actual portfolio.
TWS Guide 96
Chapter2 To use the Performance Portfolio Profile
To open the Performance Portfolio Profile
From the Monitor panel of the Mosaic, navigate to or open the Portfolio page.
Click the Profile button at the top of the page to put the Portfolio into "what-if" mode.
To use the Performance Portfolio Profile
Use this what-if tool to hypothetically remove positions from your existing portfolio, add new
positions, or change the position quantity and see how key performance metrics are affected.
To hypothetically remove positions
Uncheck any of your actual positions to remove them from the risk calculations.
To hypothetically add new positions
Click the "Add Test Trade" button.
Add the contract like you're adding it to any TWS window.
Set the side and quantity. The hypothetical position is now established.
To add hypothetical positions to your actual portfolio
TWS Guide 97
Chapter2 The Orders Window
Click Create Orders under the Test Trades section. All of your test trades are set up as actual
live orders.
Discard any orders that you don't want to transmit.
Modify order parameters for remaining orders.
Click Submit.
The Orders Window
The mosaic Orders window is one of the tabs in the Activity Panel, and provides a running list of
all live, canceled and completed orders.
Click the display drop-down (ALL in the above image) to specify which order types to displayi n
the Orders window. Choose from:
ALL ORDERS
LIVE ORDERS
CANCELED ORDERS
COMPLETED ORDERS
TWS Guide 98
Chapter2 Strategy Builder
Strategy Builder
Use the Strategy Builder to quickly build options combo orders directly from the option chain
display.
To open Strategy Builder
From within Mosaic use the New Window drop-down and select Strategy Builder.
From within the Option Chain window, click Strategy Builder in the lower right corner.
TWS Guide 99
Chapter2 Quotes and Data in Mosaic
To create a strategy
Within the Option Chain area, click the bid or ask for a call or put to add it as a leg to the
Strategy Builder.
The strategy displays below the leg in the Strategy Builder window, and is updated each time
you add a leg. Options used in the spread are highlighted in the Option Chain.
Once the strategy is defined, modify order parameters as needed, including order type, quantity,
price, time in force and more.
Click Submit to send the order. Use the drop-down arrow on the Submit button to save the order
and transmit at a later date.
Quotes and Data in Mosaic
Depth and breadth of quotes across our myriad Mosaic tools.
TWS Guide 100
Chapter2 The Watchlist
The Watchlist 101
Predefined Watchlists 102
Market Depth 103
Time & Sales Data 104
Price History Window 108
Option Chains 109
The Quote Details Window 110
FX Matrix 110
SLB (Stock Loan Borrow) Rates 112
The Watchlist
Watchlists hold double columns of tickers with the symbol, last price and change since the last
trade. Colored tick dots indicate whether the value has increased (green) or decreased (red).
Use the right-click menu from any ticker to access trading and analytical tools, and to edit the
Watchlist.
Add tickers to a Watchlist by entering the underlying symbol and selecting the asset type.
TWS Guide 101
Chapter2 Predefined Watchlists
Watch a short video to see how to create a Watchlist!
To add a Watchlist in Mosaic
Click the new page icon to add a page.
From the tools list select Watchlist.
Click Rename Current Watchlist to name the Watchlist if desired. Otherwise Watchlists are
named Watchlist1, Watchlist2 etc.
Add tickers to the Watchlist.
To add a Watchlist in Classic TWS
From the Trading Tools menu select Watchlist.
Click Rename Current Watchlist to name the Watchlist if desired. Otherwise Watchlists are
named Watchlist1, Watchlist2 etc.
Add tickers to the Watchlist.
Predefined Watchlists
The Predefined Watchlists function lets you create a new ticker Watchlist that is populated from
a user-selected scanner. The list of tickers is automatically refreshed each time you log in.
TWS Guide 102
Chapter2 Market Depth
Watch a short video to see how to create a Predefined Watchlist!
Market Depth
The Market Depth window is a minimized version of the full TWS Market Depth Trader. Note
that when you open the Market Depth from within the Mosaic, it is automatically linked to the
primary Mosaic windows group and is populated with that underlying. To unlink or link to other
tools, use Windows Grouping.
TWS Guide 103
Chapter2 Time & Sales Data
To open the Market Depth
Mosaic: From the New Window drop down select Market Depth.
TWS: From the Trading Tools menu select Market Depth.
Market Depth lines are shaded by price group for easy distinction. It's easy to create an order at
a specific price level by simply clicking a price in the Bid (left) or Ask (right) column.
To create a Market Depth order
1. Click a Bid or Ask price. In the Order Entry window, the order line is populated with the
default Bid or Ask price.
2. Select Buy or Sell and modify the order parameters as desired.
3. Click Submit to transmit the order.
Time & Sales Data
You can elect to view the Time & Sales for any underlying.
TWS Guide 104
Chapter2 Time & Sales Data
To use Time & Sales
1. Open the Time & Sales window.
From Mosaic - From the New Window drop down select Time & Sales.
From Classic TWS - From the Analytical Tools menu select Time & Sales.
2. To change the underlying, select a new ticker in a grouped window, or enter the ticker
symbol in the entry field.
TWS Guide 105
Chapter2 Time & Sales Data
Select from chart
From the Time & Sales Search menu, choose Select from chart. The chart for the active
underlying opens with the cursor in "Time and Sales" mode.
Click on the time/date you want reflected in the Time & Sales window.
To search for a date and time from a chart, use the "Select from chart" from the Search button.
See Trade Conditions
TWS Guide 106
Chapter2 Time & Sales Data
In addition to using the mouse over feature, you can elect to add the Exchange and
Conditions field to the Time &Sales window to show trade conditions when available.
To configure the Time & Sales window or add/remove fields, access the Settings configuration
page by clicking the wrench icon.
TWS Guide 107
Chapter2 Price History Window
Price History Window
The Price History shows the Open, High, Low, Close and Volume by date, with the first line
corresponding to today's date and using real-time market data. Use the scroll bars on the right
side to scroll up and down by date, and use the "Options" button at the bottom of the scroll bar
to go to a specific date/time, export the current table to Excel, and show splits/dividends by
opening the Adjustments field.
TWS Guide 108
Chapter2 Option Chains
Option Chains
The Mosaic option chains present a scaled-down version of features found in the full
OptionTrader tool. The Option Chains are designed to fit into the smaller Mosaic workspace
while still providing relevant option chain data and trading capability. Use the Strategy Builder
to create option combos from within the Option Chain window.
To open the Option Chains
From the Order Entry window click Option Chain.
The Option Chain opens populated with the active group underlying.
To create an option order using the Option Chain
Click the Ask or Bid price for a call or put.
Calls are on the left, puts are on the right. Once you click a bid or ask price the order displays in
the Order Entry window.
In the Order Entry window, modify the option price, quantity and order type as needed.
TWS Guide 109
Chapter2 The Quote Details Window
Click Submit to send the order, or click Advanced to check the margin impact, save the order or
attach a hedge or other advanced order attribute.
The Quote Details Window
The Mosaic Quote Details window provides quick-glance data on a specific underlying.
For more information on the Mosaic, see The Mosaic Interface topic.
FX Matrix
The FX Matrix provides a convenient way to view FOREX pairs in bulk. The tool comes
preloaded with a set of currencies and the currency list is customizable. Currencies are listed
down the left and across the top; find the intersect of the desired currencies for the most current
fx price.
To open the FX Matrix
From within Mosaic - From the New Window drop-down select FX Matrix.
From within Classic TWS - From the Trading Tools menu select FX Matrix.
TWS Guide 110
Chapter2 FX Matrix
To create orders using the FX Matrix
Click a box at the intersection of two currencies.
The FX order populates the Order Entry panel. Specify order parameters and click Submit.
For an all-in-one FX trading experience, use the FXTrader.
TWS Guide 111
Chapter2 SLB (Stock Loan Borrow) Rates
SLB (Stock Loan Borrow) Rates
The SLB Rates window provides charted daily rate history and intraday time & sales of stock
loan fees.
TWS Guide 112
Chapter2 Technical Analytics
Technical Analytics
Find market scanners, charts, labs and more in our robust offering of technical analytics.
Portfolio Builder 114
Mosaic Market Scanners 117
Predefined Mosaic Market Scanners 123
Mosaic Market Statistics 128
Advanced Market Scanner 129
Complex Orders and Trades Scanner 130
Mutual Fund/ETF Replicator 132
Options Analysis 135
TWS Guide 113
Chapter2 Portfolio Builder
Implied Volatility Tab 136
Historical Volatility Tab 139
Industry Comparison 140
Portfolio Analyst 166
Wall Street Horizon Data 166
The Toolbox 168
Portfolio Builder
Use Portfolio Builder to create investment strategies based on fundamentals data and top-tier
research, back-test and adjust as needed and then invest in the strategy and tracks its
performance within your existing portfolio.
To open Portfolio Builder
From the Mosaic New Window dropdown, select Portfolio Builder.
Select a pre-defined strategy in the Portfolio Builder Library sidecar to get started, and then click
the Customize button to modify settings. Or click Create New Strategy and then click the Edit
Rules button to modify settings. In the sidecar setup page, define the Portfolio Builder
specifications. Results are reflected immediately in the main Portfolio Builder page as you
create your portfolio strategy.
TWS Guide 114
Chapter2 Portfolio Builder
Choose from pre-defined templates including:
Closely Held - The universe of equities for this strategy includes stocks that have strong
balance sheets (where Total Long Term Debt/Total Shareholder equity for most recent period is
under 50) and high insider ownership (over 20%), and is sorted based on equally-weighted
ratings from all analysts. After sorting, the 10 highest-ranked of these stocks comprise the long
portion of the portfolio, and the 10 lowest-ranked comprise the short portion. The investment
amount you allot to the strategy is allocated using a long/short ratio of 130%/50%, and is set to
rebalance monthly.
Growth - The universe of equities for this strategy includes stocks that are regarded as
"Growth" stocks (with an Earnings Per Share change over the last 12 months greater than 5%)
at attractive valuations (price-to-earnings ratio under 12), and is sorted based on equally-
weighted ratings from all analysts. After sorting, the 10 highest-ranked of these stocks comprise
the long portion of the portfolio, and the 10 lowest-ranked comprise the short portion. The
investment amount you allot to the strategy is allocated using a long/short ratio of 130%/50%,
and is set to rebalance monthly.
High Yield - The universe of equities for this strategy includes stocks that are regarded as
"High Yield" (with a dividend yield over the last 12 months greater than 3%) at attractive
TWS Guide 115
Chapter2 Portfolio Builder
valuations (price-to-earnings ratio under 15), and is sorted based on equally-weighted ratings
from all analysts. After sorting, the 10 highest-ranked of these stocks comprise the long portion
of the portfolio, and the 10 lowest-ranked comprise the short portion. The investment amount
you allot to the strategy is allocated using a long/short ratio of 130%/50%, and is set to
rebalance monthly.
Overvalued - The universe of equities for this strategy includes stocks that are regarded as
"Highly Valued" (with a price-to-earnings ratio greater than 10) with strong performance (a year-
to-date change greater than 10%), and is sorted by market capitalization. After sorting, the 10
lowest-ranked of these stocks comprise the long portion of the portfolio, and the 10 highest-
ranked comprise the short portion. The investment amount you allot to the strategy is allocated
using a long/short ratio of 130%/50%, and is set to rebalance monthly.
Define investment amount, universe and more.
Investment Amount and Long/Short Leverage -Specify an investment amount that will be
used to calculate simulated historical performance, and then specify the percentage of that
amount you want to allocate to creating long (up to 500%) and short (up to 300%) positions.
Select Filter by Industry to display the Industry Filter. Specify industries to include in your
hypothetical portfolio, and set limits on how much of each industry to include as long and/or
short positions. Optionally define restrictions on all or specific stocks.
Universe - Define the universe of equities for the strategy to invest in by filtering by index and
last price. Use the Add Additional Filters drop down list to choose from a myriad of other filter
criteria including High/Low/Volume/History, Dividends, Fundamentals and Short Selling. Set a
Minimum/Maximum range for all filters, and view the filter and min/max range graphically in the
filter's histogram chart.
Investment Strategy - Sort the stocks in your investment universe by Market Capitalization,
Analyst Ratings by top research providers, and more than 40 Other Criteria, four of which we
select for you to get you started. Specify how the strategy should determine the long and short
positions to include (i.e. go long in the top 10 ranked equities and short in the bottom 10), how
positions should be sized and when to send a rebalance notification.
TWS Guide 116
Chapter2 Mosaic Market Scanners
Backtest Settings - Set the time period over which back testing results are displayed and the
index against which performance is charted. Elect to optimize the weight of positions based on
highest return, lowest variance or highest Sharpe ratio, and the weight of ranking providers.
See results displayed in the tool to the right of the sidecar as you make your selections. Use the
toggle switch next to the Simulated Historical Performance title to toggle the performance data
display between percent of the initial investment and an absolute dollar value. Portfolio Builder
scans are saved as individual tabs in the Monitor panel and in the scan library. You can close
the scan tabs, but will always be able to open a saved scan at any time and recreate the tab
from with the library. Edit the strategy at any time by selecting Edit Strategy at the top of the
scan. Once you're satisfied with your investment rules and backtesting results, click the Invest
button to create orders and invest in your custom portfolio. Once you've invested, the purple "H"
badge changes to a green "I" badge.
For more details about creating the ideal custom portfolio strategy, see the Portfolio Builder
Feature in Focus.
Mosaic Market Scanners
Create, customize, edit and view Mosaic Market Scanners from within the Mosaic workspace.
You can create a new custom scanner, or choose a Predefined Mosaic Market Scanner.
TWS Guide 117
Chapter2 Mosaic Market Scanners
To create a Mosaic Market Scanner
TWS Guide 118
Chapter2 Mosaic Market Scanners
From within Mosaic, click the "+"sign in the Watchlist Plus window and select Mosaic Market
Scanner.
In the Scanner Library, enter a name for the scan.
TWS Guide 119
Chapter2 Mosaic Market Scanners
Define the scan "Universe" including the product(s), region(s), exchange(s), type(s) for stock,
and optional industry filters. Click the item to include/exclude. Items in green are included. You
can see the market scanner results in the scanner pane as you define the universe.
Use the Fields section to add, remove, and manage each displayed value. Use Dual Sort on
one field to show the scanner sorted in both directions on the selected field. To change the
order in which fields are displayed in the scan, drag and drop fields into the desired order.
Each field provides a "Display" and "Sort" selection. Use these selectors to customize and
organize scan data.
"Display" Field Information
The Display selections let you specify how and if you want the values in the field displayed.
Use the "Bar" and "Gradient" graphical indicators to provide at-a-glance information on the on
the tickers in your market scan. Choose from the following:
Values - This selection will show the expected numerical value appropriate for the field.
This is the default display.
Gradient - The Gradient uses a filled, colored circle with different shades to provide inform-
ation on the field value. Red shades identify a downward move and green shows upward
movement. Hold your mouse over a gradient to see the color-shading key.
TWS Guide 120
Chapter2 Mosaic Market Scanners
Bar - The Bar chart displays the field value graphically using a colored bar to indicate the dir-
ection and degree of change. Red indicates negative and green indicates positive. The
length of the bar indicates the degree of change (the value). Bars that have values outside
the hand-picked range will display a very bright section at the end of the bar to signify val-
ues outside the range.
Line The Line chart displays the field value graphically using a colored line. You can elect
to view up to three fields that use the Line chart view. Mouse over the "Lines ?" display in
the scanner to see the key to the Line colors.
Values + Gradient - Displays two fields for a single value; one with the numerical value and
one with the gradient.
Values + Bar - Displays two fields for a single value; one with the numerical value and one
with the bar chart.
Values + Line - Displays two fields for a single value; one with the numerical value and one
with the line chart.
None - The value for the field will not display. You can use the combination of a "none"
value with a sort specification for a field to have the scanner search on and sort by a field
without showing the field value, for example, Market Cap. If you set the sort to descending,
the scan will return tickers with the highest market cap but will not show you the actual mar-
ket cap.
"Sort" Field Information
The Sort field allows you to specify sort criteria AND determine the field on which the scan will
be based. You can only select sort criteria for ONE field. Sort selections include:
Unsorted - This means that the field values are not ordered and that this field does not drive
the scan.
Low to High - This means that the fields values are sorted ascending from lowest to
highest, and that the scanner is driven by this field.
High to Low - This means that the fields values are sorted descending from highest to low-
est, and that the scanner is driven by this field.
TWS Guide 121
Chapter2 Mosaic Market Scanners
Dual Sort - This selection splits the scanner into two columns, with one column showing val-
ues sorted from Low to High, and the other showing values sorted
Click Done to complete the scan. Click Edit Scanner at the top right of the scan window to
modify the scan at any time.
To ensure that your new scanners are saved, be sure to exit TWS while the Mosaic window is
still open. If you close the Mosaic before you log out your changes will be lost. kjal'jf asdk'jf
'lkjds'lfj ljdf'dj fjf'
To open or edit an existing scanner
Click a tab on the Watchlist Plus window.
You can export the scan results to an Excel spreadsheet to allow you to use and manipulate the
data.
TWS Guide 122
Chapter2 Predefined Mosaic Market Scanners
To export scanner results
Complete defining the scanner criteria (or "Edit" the scanner).
At the bottom of the scanner window, click Export Results.
Enter a name for the file, and modify the Save in location if desired. Click Save.
The scan data is now saved in a .csv file. \
Predefined Mosaic Market Scanners
Delete this text and replace it with your own content.
To create a Predefined Scanner
TWS Guide 123
Chapter2 Predefined Mosaic Market Scanners
From within Mosaic, click the "+"sign on the Watchlist Plus window and select Mosaic Market
Scanner.
TWS Guide 124
Chapter2 Predefined Mosaic Market Scanners
In the Predefined Scans section of the Scanner Library, select a region and choose a
predefined scan, or use the Search field to find scans based on a keyword. Available scans are
shown below:
Stock Scanners
Future Scanners
Index Scanners
Option Scanners
US Europe Asia
US Movers Europe Movers Asia Movers
A dual-sorted scan that displays stocks A dual-sorted scan that A dual-sorted scan that
with the greatest negative percent displays stocks with the displays stocks with the
change (left side) and greatest positive greatest negative percent greatest negative percent
percent change (right side). change (left side) and change (left side) and
greatest positive percent greatest positive percent
change (right side). change (right side).
US Active Europe Active Asia Active
Displays stocks with the greatest daily Displays stocks with the Displays stocks with the
volume, today. greatest daily volume, greatest daily volume,
today. today.
US ROE
Scans for major US corporations with the
strongest return on equity over the past
12 months.
US FUT Movers Europe FUT Movers Asia FUT Movers
A dual-sorted scan that displays futures A dual-sorted scan that A dual-sorted scan that
with the greatest negative percent displays futures with the displays futures with the
change (left side) and greatest positive greatest negative percent greatest negative percent
TWS Guide 125
Chapter2 Predefined Mosaic Market Scanners
US Europe Asia
percent change (right side). change (left side) and change (left side) and
greatest positive percent greatest positive percent
change (right side). change (right side).
US INDEX Movers Europe INDEX Movers Asia INDEX Movers
A dual-sorted scan that displays indexes A dual-sorted scan that A dual-sorted scan that
with the greatest negative percent displays indexes with the displays indexes with the
change (left side) and greatest positive greatest negative percent greatest negative percent
percent change (right side). change (left side) and change (left side) and
greatest positive percent greatest positive percent
change (right side). change (right side).
Dividend Yield
Lists equities with the richest dividend
yields.
Imbalance
A dual-sorted scan that lists the largest
auction imbalances to buy and sell. Only
displays values during NYSE and
NASDAQ auctions.
Reg Imbalance
A dual-sort scan listing the largest ratio of
Regulatory Imbalance to Average Daily
Volume. Only displays values during
NYSE closing auctions.
Russia ET
Displays the set of US ETFs whose
holdings focus solely on Russian
equities.
P/C Volume
TWS Guide 126
Chapter2 Predefined Mosaic Market Scanners
US Europe Asia
A dual-sorted scan that displays equities
with the highest and lowest put/call
ratios.
IV/HV
A dual-sorted scan that identifies equities
whose options currently have the highest
and lowest implied volatilities vs. their
historical 30-day volatilities.
Alternative Energy
Displays the list of US publicly traded
corporations in the alternative energy
industry.
Option Volume
Displays equities with the highest option
volume today.
IPOStocks IPOStocks IPOStocks
Displays equities sorted by their IPO Displays equities sorted Displays equities sorted
date. by their IPO date. by their IPO date.
Complex Orders and Trades
Returns all complex strategies on a spe-
cific underlying that have a native bid/ask
quote or that have traded today. To find
the strategy that has traded the most
today, sort the results by Volume (click on
the Volume column to sort).
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Chapter2 Mosaic Market Statistics
Mosaic Market Statistics
Market Statistics are sorted by exchange and display:
Advancing, declining and unchanged issues
Up, down, unchanged and total volume
TRIN and TICK indicators
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Chapter2 Advanced Market Scanner
To run Market Statistics
From the Mosaic Monitor panel, click the "+"sign to add a window.
Select Market Statistics. A new tab named "Market Statistics" is created.
Advanced Market Scanner
The Advanced Market Scanners quickly scan of relevant markets and return the top contracts
based on the instrument, parameter and filtering criteria you define. In addition, you can transmit
orders directly from a scanner, and save a scan as a template for later use.
To create an Advanced Market Scanner
From Mosaic - From the New Window drop down select Advanced Market Scanner.
From Classic TWS - From the Analytical Tools menu select Advanced Market Scanner.
Use the icons to the far right of the command to open the scanner as a new window (recom-
mended) or as a new tab.
Define Scan Criteria
1. Select an instrument type from the Instrumentlist. Note that the scan title changes with
each selection to reflect the criterion you select.
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Chapter2 Complex Orders and Trades Scanner
2. Instruments are defined by region. Global scanners can scan an instrument across
global markets.
3. Choose the location/exchange whose data will be included in the market scan. The valid
locations change in response to the instrument you selected in Step 1.
4. Use the Filterfields to narrow the contracts that will be returned in your query by char-
acteristic. For example, you may only want to see the Top% US Stock Gainers within a
certain P/E range, or with a capitalization above 2,000,000.
5. Choose a Scanner parameter, such as Top% Gainers, Hot Contracts by Priceor Top
Option Implied Volatilityin the Parameter field.
6. Click Searchto return the top contracts that meet your search criteria. Data is updated
every 60 seconds.
Most scans return the top 50 contracts by default. You can specify the maximum number of
returns using the Max results field.
To save a scanner template
1. After you have defined the scan criteria, click the "Save" disk icon to the right of the Max
Results field.
2. Select Save Template.
3. Enter a descriptive file name and click Save.
To use a saved scanner template
1. From within a Market Scanner page, click the "Save" disk icon to the right of the Max Res-
ults field.
2. Select Load Template.
3. Select the scanner file you want to use and click Open.
Complex Orders and Trades Scanner
You can create this scanner individually, or as a tab in the Predefined Mosaic Market Scanners
. The Complex Orders and Trades scan returns all complex combination strategies on a specific
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Chapter2 Complex Orders and Trades Scanner
underlying that have a a native bid/ask quote or that have traded today. To find the strategy that
has traded the most today, sort the results by Volume (click on the Volume column to sort).
To open the Complex Orders and Trades scanner
From Mosaic - From the New Window drop down select Complex Orders and Trades Scan-
ner.
From Classic TWS - From the Analytical Tools menu, select Complex Orders and Trades
Scanner.
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Chapter2 Mutual Fund/ETF Replicator
Mutual Fund/ETF Replicator
The Mutual Fund/ETF Replicator finds a single or compound ETF whose performance parallels
that of a user-specified Mutual Fund or ETF, but whose fees are generally lower. Once you
enter the contract or symbol and the investment amount, the replicator scans the market and
returns the top single and compound ETFs in the recommended quantity (based on the
investment amount) whose performance most closely follows that of your submitted asset. The
Performance Analysis and Return Comparison panels display performance correlation
characteristics including the correlation, tracking error and a comparison of management fees.
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Chapter2 Mutual Fund/ETF Replicator
Use the Mutual Fund/ETF Replicator
Open the Mutual Fund/ETF Replicator.
From Mosaic - From the New Window drop down select Mutual Fund/ETF Replicator.
From Classic TWS - From the Analytical Tools menu select Mutual Fund/ETF Replicator.
Enter the fund or ETF symbol, or click Browse Mutual Funds to search by fund family.
Modify the investment amount, if desired.
View comparison between returned ETF(s) and the original entered contract.
This comparison is intended for information purposes only, and does not constitute a
recommendation or solicitation to buy or sell securities. There is no guarantee that any
correlation displayed within this tool will continue into the future, or that the displayed ETFs will
have a similar investment return into the future as the entered fund or ETF. Customers are
solely responsible for their own trading decisions.
You can define parameters to display a real-time line or bar chart for all supported contracts.
Charts are not supported for mutual funds.
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Chapter2 Mutual Fund/ETF Replicator
Some of the features of a real-time chart are captured in the above image.
1. Chart Dashboard/Menuallows you to quickly change the underlying, time period and
chart display type and Save Templates (File menu) access Chart Parameters, Studies,
and Global Configuration(Edit menu) and easily control hide/display attributes of the
chart's components (View menu)
2. Chart Toolbar - Provides quick-click access to add commentary, edit the chart, zoom in
and out, change the cursor to a crosshair, increase or decrease the bar width for a bar
chart, and open Global Configuration.
3. The customizable Quote Zone makes relevant data immediately visible on the chart. To
add/remove fields from the Quote Zone, right-click and select Configure Quote Zone.
4. Action Buttons- Click a button to arm the cursor with the selected function. Click in the
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Chapter2 Options Analysis
chart at the desired price level to create a price alert, sell order or buy order at the selected
price. The order displays on the chart and in the ChartTrader panel if you have that
opened (via Chart Parameters).
5. Hot Buttons - Check the "Armed" checkbox to activate Instantaneous Transmission.
Click a button to arm the cursor with the selected function. Click in the chart at the desired
price level to immediately transmit a price alert, sell order or buy order at the selected
price. Enable via the Hot Buttons checkbox in the Additional Data and Features section
of the Chart Parameters window.
6. Vertical Scrollbar allows you to quickly increase or decrease the visible price range.
Once you use the scrollbar, the price update is locked and you must unlock using the
price icon for real-time updates. The blue arrow icon allows you to add a degree of vertical
buffer to the chart with each click.
7. The Bar Details Zone provides detailed information for a specific bar in the chart. We
have displayed it for information only, since the image depicts a line chart.
8. If enabled, the ChartTrader displays once you have created an order using the Buy or Sell
hot buttons. Enable via the ChartTrader checkbox in the Additional Data and Features
section of the Chart Parameters window.
To create a chart
From Mosaic - From the New Window drop down select Chart.
From Classic TWS - From the Analytical Tools menu select Chart. Enter Chart Parameters.
Options Analysis
Use or options labs to create the best strategies for your portfolio.
Volatility Lab
Comprehensive toolkit of volatility tools the provide a snapshot of past and future readings for
vol on a stock, its industry peers and soem measure of the broad market.
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Chapter2 Volatility Lab
Volatility Lab
A comprehensive toolkit of volatility tools providing a snapshot of past and future readings for:
volatility on a stock, its industry peers and some measure of the broad market.The Volatility Lab
comprises three tabbed workspace snapshots for Implied Volatility, Historical Volatility and
Industry Comparison.
To open the Volatility Lab
From within Mosaic, use the New Window drop down.
From within TWS, use the Trading Tools window.
Implied Volatility Tab
The Volatility Lab opens to the Implied Volatility layout by default. Move between layouts
(Implied Volatility, Historical Volatility, Industry Comparison) using the tabset along the bottom
frame. The Implied Volatility layout comprises five windows:
Implied Volatility Window
This displays the measure of anticipated volatility of the stock using the prevailing option
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Chapter2 Implied Volatility Tab
premium. The plot allows the user to display the IV reading for as many or as few of the
available last trading days. Each is color-coded with the reading for implied volatility measured
on the right axis and the stock price is traced using the grey line. This look-back view of IV can
be plotted for 1 week, one, two and six months, one year or a custom period. The user may be
able to immediately tell from the readings whether or not implied volatility is relatively high in
any given month, possibly caused by expected earnings announcements or uncertainty over
possible changes to dividend payments.
Volatility Profile Window
Shows the Historical and Implied readings of volatility side-by-side, over time. Either measure
can be removed from the screen by clicking on the checkbox. Compare actual stock volatility to
the forward measure apparent through option premium, and gauge how far the two measures
deviate over time in response to market shocks, or as the underlying share prices track higher
or lower. The window allows the user to look back over a one-year period. Use the Configure
Wrench icon to change modes. In the Volatility Profile window the default view compares
historic and implied readings of volatility but the alternate mode, Volatility Profile Comparison,
shows the readings of implied volatility on industry comparable stocks.
Multi-Expiry Skew
Displays the volatility smile created by the premium paid for options at selected expirations.
Because an options premium is significantly comprised of the reading of implied volatility, an
option trader is concerned by the respective cost of calls and puts at strike prices above and
below the prevailing price of the underlying shares. When investors are more willing to pay
higher premiums for in-the-money calls or out-the-money puts, the volatility curve may show a
skew to price points below the prevailing share price. Conversely if options are priced higher for
out-of-the-money calls and in-the-money puts, the volatility curve might be skewed higher to
points above the prevailing share price. Use the Configure Wrench icon to change between
Multi-expiry Skew, Time Lapse Skew (described in #4 below) and Skew Comparison (which
allows the user to view the skew on a specified expiration date for the ticker and its industry
comparables, any of which can be unchecked above the plot. Because we could be viewing
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Chapter2 Implied Volatility Tab
stocks or an index with hugely different prices, the x-axis defaults to Moneyness rather than any
individual share price).
You change the display for Multi-expiry and Time Lapse skews to compare Moneyness or
Strike. Moneyness is the position of the strike to the underlying, while the Strike option will
display the actual set of available strike prices on the x-axis. Use the Custom Calendar drop-
down menu in the upper right of the screen to drive the same view to any available prior date.
The user can then compare how long a particular condition may have been in place. Note also
that the display can be changed between Moneyness and Strike using the Configure Wrench
icon.
Time lapse Skew
An option trader may be interested in knowing how such a price skew has evolved. By using
the Time Lapse Skew panel, the user can plot the current volatility skew for a selected
expiration and compare to any prior period reading of one day, one, two and three weeks and
one month ago. This allows investors to identify changing conditions in the option market or
perhaps to identify a catalyst that caused skew to occur or disappear.
Open Interest
view current or historic open interest for available contract months and strikes. Choose any
available expiry and view the combined put and call reading of open interest. The plot can be
restricted to specific strikes or will default to open interest across all strikes. Open interest
measures investor enthusiasm for a particular stock and also identifies strikes where most or
least liquidity might be available. Note also that in the upper right corner there is a calendar
drop-down menu that allows the user to view open interest on chosen months or strikes from
prior dates. Just pick the time period and select that date.
Use the Configure Wrench icon to change modes between Open Interest and Option Volume.
The Chart allows the user to determine whether to see volume or open interest for Puts and
Calls combined in one chart (Puts + Calls) or broken out into bull and bear contracts in two
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Chapter2 Historical Volatility Tab
charts (Puts & Calls). Use the calendar dropdown to review activity or positioning from any prior
calendar date.
Historical Volatility Tab
This tab comprises the Historical Volatility window, along with the Volatility Profile and Time
Lapse Skew, both of which are described above (#2 and #4).
Historical Volatility
This plot defaults to the 30-day reading of both implied and historical volatility plotted against
the share price over a custom period. By clicking on the plus arrow the user can select from an
array of calculations to view historical volatilities. Investors may want to see how high and for
how long volatility measures rise or fall when they suffer significant swings driven by
aberrations to the trend for the underlying share price. The grey line in the background plots the
reading for the underlying share price.
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Chapter2 Industry Comparison
Industry Comparison
The five-window Industry Comparison workspace provides comparison of a stocks
volatility measures against those of comparable companies in the same industry group.
Custom Comps
The company is grouped in the upper pane along with its competitors with a share price and
volatility comparison. Check related companies to see their data reflected across all windows.
Implied Volatility Comparison
The measure of volatility for each of the selected companies appears below in the Implied
Volatility Comparison window along with the share price of the company under analysis, which
is plotted as a gray line in the background. Click the "+" sign to add competitors or the
comparison to the S&P 500 index. Note also that you can add a company that is not considered
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Chapter2 Volatility Over Time
a competitor by TWS by entering its ticker symbol into either of the Custom input fields. This
feature allows you to compare the implied volatility display on an industry against that of a stock
in another field. The default time frame for this chart is two-months. Use the Time Period drop-
down menu to choose from the available time frames to tailor the view. Use the Configure
Wrench icon to change modes.
Underlying Price
In addition to displaying volatility comparisons, this tab allows the user to compare the share
price performance of the chosen underlying with its peer group, the S&P 500 index, and other
custom-defined companies. Any tickers you may have entered in the Volatility Comparison plot
will show up here, but these can be removed by deselecting them above the chart. Note also
that the time period is configurable by selecting the drop-down menu in the upper right of the
chart.
Skew Comparison
This plot is discussed above.
Volatility Profile Comparison
This plot is discussed above.
Volatility Over Time
Implied Volatility Window
This displays the measure of anticipated volatility of the stock using the prevailing option
premium. The plot allows the user to display the IV reading for as many or as few of the
available last trading days. Each is color-coded with the reading for implied volatility measured
on the right axis and the stock price is traced using the grey line. This look-back view of IV can
be plotted for 1 week, one, two and six months, one year or a custom period. The user may be
able to immediately tell from the readings whether or not implied volatility is relatively high in
TWS Guide 141
Chapter2 Volatility Over Time
any given month, possibly caused by expected earnings announcements or uncertainty over
possible changes to dividend payments.
Historical Volatility
This plot defaults to the 30-day reading of both implied and historical volatility plotted against
the share price over a custom period. By clicking on the plus arrow the user can select from an
array of calculations to view historical volatilities. Investors may want to see how high and for
how long volatility measures rise or fall when they suffer significant swings driven by
aberrations to the trend for the underlying share price. The grey line in the background plots the
reading for the underlying share price.
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Chapter2 Volatility Skew
See the complete Volatility Lab.
Volatility Skew
Multi-Expiry Skew
Displays the volatility smile created by the premium paid for options at selected expirations.
Because an options premium is significantly comprised of the reading of implied volatility, an
option trader is concerned by the respective cost of calls and puts at strike prices above and
below the prevailing price of the underlying shares. When investors are more willing to pay
higher premiums for in-the-money calls or out-the-money puts, the volatility curve may show a
skew to price points below the prevailing share price. Conversely if options are priced higher for
out-of-the-money calls and in-the-money puts, the volatility curve might be skewed higher to
points above the prevailing share price. Use the Configure Wrench icon to change between
Multi-expiry Skew, Time Lapse Skew (described in #4 below) and Skew Comparison (which
allows the user to view the skew on a specified expiration date for the ticker and its industry
comparables, any of which can be unchecked above the plot. Because we could be viewing
stocks or an index with hugely different prices, the x-axis defaults to Moneyness rather than any
individual share price).
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Chapter2 Volatility Skew
You change the display for Multi-expiry and Time Lapse skews to compare Moneyness or
Strike. Moneyness is the position of the strike to the underlying, while the Strike option will
display the actual set of available strike prices on the x-axis. Use the Custom Calendar drop-
down menu in the upper right of the screen to drive the same view to any available prior date.
The user can then compare how long a particular condition may have been in place. Note also
that the display can be changed between Moneyness and Strike using the Configure Wrench
icon.
Time lapse Skew
An option trader may be interested in knowing how such a price skew has evolved. By using
the Time Lapse Skew panel, the user can plot the current volatility skew for a selected
expiration and compare to any prior period reading of one day, one, two and three weeks and
one month ago. This allows investors to identify changing conditions in the option market or
perhaps to identify a catalyst that caused skew to occur or disappear.
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Chapter2 Probability LabSM (Patent Pending)
See the complete Volatility Lab.
Probability LabSM (Patent Pending)
Use the Probability Lab to customize the Probability Distribution based on your price or volatility
forecast for the underlying ticker. Analyze and trade any of the option combinations suggested
from your probability distribution.
To open the Probability Lab
From within Mosaic, use the New Window drop down.
From within TWS, use the Trading Tools window.
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Chapter2 Probability LabSM (Patent Pending)
To use the Probability Lab
Enter a ticker and select a last trading day. The market defined Probability Distribution (PD) is
built.
In the Probability Distribution Builder, grab the red bar in any price interval and pull it up if
you believe there is a higher probability of the stock price ending up in that price interval at the
expiration date specified. Pull it down if you believe there is a lesser probability of the stock
price ending up in that interval at the expiration date specified.
All probabilities must add up to 1.00 so you will see the other levels adjust when you make
changes in any price interval.
You can also adjust the probability using the up/down arrow icons near the values, or by
dragging the hand icon to the left or right within the distribution graph.
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Chapter2 Probability LabSM (Patent Pending)
When you are satisfied with your custom PD, specify desired parameters, select the minimum
number of legs you want in your option strategy and click Build Strategy.
a. Roll Existing Positions - When applicable, allows you to select existing positions in
the underlying to include in the strategy. The Strategy Builder will attempt to cre-
ate a strategy that gets you out of the selected position. Only positions that expire
before the selected last trading day will be displayed, and only two positions can
be rolled. If the user-defined max number of legs below is too small, it will be adjus-
ted. Cannot be used in conjunction with Incorporate Existing Positions feature.
b. Incorporate Existing Positions - Check to have your existing positions in the under-
lying included in the computation used to build a strategy. Once you have built
the strategies, you can view the data for the strategies both with and without the
selected existing positions being included by checking/unchecking the "Existing
Positions" feature in the blade of the Strategy Scanner. Cannot be used in con-
junction with Roll Existing Positions feature.
c. Delta Neutral - Check to only build strategies that are delta neutral.
d. Include Stock Leg - Check to have the underlying stock included as a leg in the
returned strategies.
The Strategy Scanner (in the panel below the PD Builder) will display three potential
combination option strategies that complement your customized PD. For each strategy (and
based on your custom PD) the selector displays the Expected Profit, Sharpe ratio (which shows
the ratio of expected profit to variability of outcome), net debit or credit, percent likelihood of
profit, max potential profit and loss and the associated probabilities, and the margin requirement
if you were to trade the strategy.
To create an order, in the Strategy Scanner select the strategy. To view color-coded
representations in the Strategy Performance Detail graph, check the strategy.
a. Probability Basis - Choose the probability basis for calculations using the drop
down selector.
b. Existing Positions - If you have elected to Include Existing Positions when building
strategies, you now have the option to view data (including P&L in the per-
formance details graph and data point in the strategy scanner) both including
and excluding your existing positions in the underlying using the Existing Positions
checkbox that will display next to the Probability Basis drop down list. Check to
include; uncheck to exclude.
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Chapter2 Option Strategy Lab
In the Strategy Adjustment/Order Entry panel, adjust any parts of the strategy by clicking in a
field in the leg you want to modify. For any leg, you can modify the action, ratio, last trading day,
strike or type.
Once the legs are defined, use the Order Entry line to modify any order parameters. Use the
advanced order area to create a hedging stock order and to attach order attributes including
iceberg and all or none.
When the order is ready to be sent, click Submit.
Use the Strategy Performance Detail graph to see the predicted profit or loss that would result
from the selected trade if your forecast is accurate, along with the associated probability that
corresponds to each price point. Use the drop down list to select Delta, Gamma, Vega, Theta or
Rho for display.
Option Strategy Lab
Enter your price or volatility forecasts for an underlying and the Option Strategy Lab will return a
list of single and complex option strategies that will potentially profit based on the forecast.
To open the Option Strategy Lab
From within Mosaic, use the New Window drop-down and select Option Analysis and then
Option Strategy Lab.
From within Classic TWS, use the Trading Tools menu and select Option Strategy Lab.
When you first open the Option Strategy Lab, the Strategy Scanner opens to allow you to enter
your forecast data.
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Chapter2 Option Strategy Lab
To populate the Option Strategy Lab
In the Strategy Scanner, enter the underlying.
Define your forecast, including:
The range, between now and a selected last trading day.
Price or Volatility as the forecast driver.
The predicted action of the price or volatility. Choose from:
Drop
Rise
Be rangebound
Move at least
The increment and unit (choose from value or percentage)
If desired, filter your results by Premium, Delta, Strike or Last Trading Day. You can select
multiple filters and define multiple values within each filter.
Click Done to populate the lab.
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Chapter2 Order Entry
Order Entry
The strategy selected in the scanner populates the Order Entry panel. Each time you select a
new strategy the Order Entry panel is repopulated.
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Chapter2 Analyze Strategies in the Scanner
Modify order parameters in the Order Entry section at the bottom of the panel, and click Submit
to trade the strategy. Before you submit the order, you can analyze the forecast-based strategy
using the charts and graphs.
Analyze Strategies in the Scanner
Based on your forecast, the scanner returns a list of options or complex option strategies that
will potentially be profitable if your forecast is correct. Some fields in the scanner include:
Expected Profit
Sharpe Ratio - the measure of excess return (the risk premium) per unit of deviation for the
strategy.
Return/Risk Ratio - the ratio of the max potential gain to the max potential loss.
Probability of Profit - the market implied probability of any gain.
Maximum Potential Gain
Maximum Potential Gain as a Percentage of your Investment
Maximum Potential Loss
Maximum Potential Loss as a Percentage of your Investment
Break Even Point - the underlying price(s) required for a strategy to break even.
Hold your mouse over a value in any field to see the definition. Add more fields by clicking the
Configure wrench icon and then selecting Configure Columns.
Analyze the Price Target
The Price Target chart shows the current underlying price highlighted in yellow, and the target
price based on your forecast in red.
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Chapter2 Compare Strategy Performance
The blue shaded area represents the estimated price range to one standard deviation. Drag the
dotted line to change the expiration date.
Compare Strategy Performance
Each strategy checked in the scanner is represented in the comparison chart.
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Chapter2 Strategy Detail
By default the chart is set to today's date, but you can choose the last trading day you specified
in your forecast or any date between today and the last trading day.
Strategy Detail
The Performance Details charts provide a close-up look at the option or strategy selected in the
scanner. Use the selector to change the comparison category.
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Chapter2 Option Activity
The last trading day is driven by the date in your forecast, and can be changed by changing the
date in the Performance Comparison, or by dragging the date line in the Price Target chart.
Option Activity
Open Interest and Option Volume
view current or historic open interest for available contract months and strikes. Choose any
available expiry and view the combined put and call reading of open interest. The plot can be
restricted to specific strikes or will default to open interest across all strikes. Open interest
measures investor enthusiasm for a particular stock and also identifies strikes where most or
least liquidity might be available. Note also that in the upper right corner there is a calendar
drop-down menu that allows the user to view open interest on chosen months or strikes from
prior dates. Just pick the time period and select that date.
To view Open Interest/Option Volume
TWS Guide 154
Chapter2 Option Activity
From the New Window dropdown, select Option Analysis then select Option Activity and
then Open Interest/Option Volume by Strike.
Use the Configure Wrench icon to change modes between Open Interest and Option Volume.
The Chart allows the user to determine whether to see volume or open interest for Puts and
Calls combined in one chart (Puts + Calls) or broken out into bull and bear contracts in two
charts (Puts & Calls). Use the calendar dropdown to review activity or positioning from any prior
calendar date.
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Chapter2 Option Analytics
Option Analytics
The Option Analytics window displays values that reflect the rate of change of an option's
price with respect to a unit change in each of a number of risk dimensions.
The contract price plots display the static set of contract prices determined during the price
scan. Each point associates an underlying price on the horizontal axis with the corresponding
contract price on the vertical axis. Note that the contract price is expressed as the price per
underlying unit (just as it is represented on an order line or in the execution window). The top
plot displays calls, the bottom plot displays puts, for whichever option(s) your have highlighted
in the list.
Move your mouse over the curves to highlight the current value. Also, note that the current
underlying price is highlighted on the bottom axis, and the close price is marked by a light gray
vertical line.
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Chapter2 Option Analytics
Use the Plus sign to specify the close value. Use the Vol+15%, Vol-15%and Time-1draise the
implied volatility by 15% in relative change*, reduce the implied volatility by 15% in relative
change*, and reduce the time to expiry by one calendar day. Use the Date Scenario section to
create dynamic curve scenarios.
To view the Option Analytics window
From Mosaic - Use the New Window drop down and select Option Analysis > Interactive
Analytics > Option Analytics.
From Classic TWS - Use the Analytical Tools menu and select Option Analysis > Inter-
active Analytics >Option Analytics from the Technical section.
*For an example of a relative percent change, if the current implied volatility of an option is 10%,
a 15% relative change would result in an implied volatility of 11.5%, calculated as follows:
10% * (1 + 0.15) = 11.5%.
Additionally you can open just the option Greeks or just the Put & Call P&L by selecting:
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Chapter2 Option Analytics
Option Analysis > Interactive Analytics > Greeks
Option Analysis > Interactive Analytics >Put+Call P&L
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Chapter2 Option Analytics Greeks
Option Analytics Greeks
You can elect to open only the Greeks section of the Option Analytics window.
To open the Greeks
TWS Guide 159
Chapter2 Option Analytics P&L
From Mosaic - From the New Window drop down select Option Analysis > Interactive Ana-
lytics > Greeks.
From Classic TWS - From the Analytical Tools menu, select Option Analysis > Interactive
Analytics > Greeks.
Option Analytics P&L
You can elect to open only the P&L section of the Option Analytics window.
To open the Option P&L
TWS Guide 160
Chapter2 Option Analytics
From Mosaic - From the New Window drop down select Option Analysis > Interactive Ana-
lytics > Put + Call P&L.
From Classic TWS - From the Analytical Tools menu, select Option Analysis > Interactive
Analytics > Put + Call P&L.
Option Analytics
The Option Analytics window displays values that reflect the rate of change of an option's
price with respect to a unit change in each of a number of risk dimensions.
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Chapter2 Option Analytics
The contract price plots display the static set of contract prices determined during the price
scan. Each point associates an underlying price on the horizontal axis with the corresponding
contract price on the vertical axis. Note that the contract price is expressed as the price per
underlying unit (just as it is represented on an order line or in the execution window). The top
plot displays calls, the bottom plot displays puts, for whichever option(s) your have highlighted
in the list.
Move your mouse over the curves to highlight the current value. Also, note that the current
underlying price is highlighted on the bottom axis, and the close price is marked by a light gray
vertical line.
Use the Plus sign to specify the close value. Use the Vol+15%, Vol-15%and Time-1draise the
implied volatility by 15% in relative change*, reduce the implied volatility by 15% in relative
change*, and reduce the time to expiry by one calendar day. Use the Date Scenario section to
create dynamic curve scenarios.
To view the Option Analytics window
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Chapter2 Option Analytics
From Mosaic - Use the New Window drop down and select Option Analysis > Interactive
Analytics > Option Analytics.
From Classic TWS - Use the Analytical Tools menu and select Option Analysis > Inter-
active Analytics >Option Analytics from the Technical section.
*For an example of a relative percent change, if the current implied volatility of an option is 10%,
a 15% relative change would result in an implied volatility of 11.5%, calculated as follows:
10% * (1 + 0.15) = 11.5%.
Additionally you can open just the option Greeks or just the Put & Call P&L by selecting:
Option Analysis > Interactive Analytics > Greeks
Option Analysis > Interactive Analytics >Put+Call P&L
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Chapter2 Strategy Performance Graph
Strategy Performance Graph
Displays the P&L (or any of the Greeks) as a function of the underlying price. The graph is
displayed as part of the Performance Profile, and can also be opened as its own window.
To open the Strategy Performance Graph
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Chapter2 Strategy Performance Graph
From Mosaic - From the New Window drop down list select Option Analysis and then
Strategy Performance Graph.
From Classic TWS - From the Analytical Tools menu, select Option Analysis and then
Strategy Performance Graph.
TWS Guide 165
Chapter2 Portfolio Analyst
Portfolio Analyst
PortfolioAnalyst allows you to evaluate the performance of your IB portfolio by creating and
saving reports based on a set of measurement criteria and optionally comparing their data to
selected industry benchmarks. Once you create and save reports, you can run, edit or delete
them.
Portfolio Analyst is part of Account Management. For details, please see the Portfolio Analyst
section of the Account Management.
Wall Street Horizon Data
Subscribe to Wall Street Horizon to see ticker-specific events calendars and industry-related
events for thousands of companies worldwide. The Events Calendars display dates for
earnings announcements, shareholder meetings, investor conferences and other events, and
provides links to Seeking Alpha transcripts whenever available.
TWS Guide 166
Chapter2 Wall Street Horizon Data
To access the WSH Corporate Events Calendar
From Mosaic - From the New Window drop down select WSH Corporate Events Calendar.
From Classic TWS - From the Analytical Tools menu select WSH Corporate Events Cal-
endar.Then select My Portfolio to see events for companies in your portfolio, or Selected
company to see events for the company selected in the Quote Monitor. See below for
detailed instructions on company-specific display.
If you don't see this command listed in the Fundamentals section of the Analytical Tools men,
use the Expand arrow at the bottom of the list to display hidden menu items.
Select a future event in either table and click Set Alertto create a message or order action alert.
Click the blue hypertext to access a transcript.
You can also view the Events Calendar for one or multiple tickers.
To view Events for specific tickers
1. Start in the Classic TWS interface.
2. From a Quote Monitor, select a ticker or select multiple tickers by holding down the Ctrl
key and clicking the market data lines.
3. From the WSH Corporate Events Calendar menu command choose Selected company.
You can also view recent events for your portfolio, which comprises all of your current positions.
To view a Portfolio Events Calendar
1. From the Analytical Tools menu, select Event Calendarand then My Portfolio.
Note: If you have a large portfolio, it may take several minutes for all of the data to load.
You may want to consider viewing events for a subset of tickers using the procedure
above.
TWS Guide 167
Chapter2 The Toolbox
Recent events are listed in the Events table, sorted by date.
Click the Underlying field heading to re-sort the table by underlying. Click any other field to
re-sort by that field.
Hold your mouse over the Earnings Call Information icon to see dates for upcoming Earn-
ings calls.
Select a line and click the Company Fundamentalsbutton to open that tool for a single
underlying.
The Toolbox
The Mosaic Toolbox includes a predefined list of quick links to useful tools that use windows
grouping to link them to the primary Mosaic group. Click an item to open the tool populated with
the currently selected underlying.
TWS Guide 168
Chapter2 IB Information System
To display the toolbox
From Mosaic - From the New Window drop down select Toolbox.
From Classic TWS - From the Analytical Tools menu in the Technical section select Tool-
box.
IB Information System
News and fundamentals abound throughout the IB Information System.
Event Calendars 170
Fundamentals 175
Analyst Ratings (Summary) 177
Short Interest Tear Sheet 178
Ownership Tear Sheet 180
Mosaic News Panel 182
Analyst Research 192
TWS Guide 169
Chapter2 Event Calendars
Event Calendars
Find economic events, earnings, dividends and splits and more in our Event Calendars.
Daily Lineup
Designed to be viewed first thing in the morning, the Daily Lineup provides a birds-eye view of
upcoming market events. IBIS subscribers will see the Daily Lineup when they first log in, and
can view the summary at any time during the day by selecting Daily Lineup from the New
Window > Event Calendar menu.
The Daily Lineup updates in realtime throughout the day. Thumbnail charts in the World
Markets change based on the selected contract. In the News sections, click a headline to view
the full story.
To view Daily Lineup
From Mosaic - Click the Event Calendars button and select Daily Lineup.
From Classic TWS - From the Analytical Tools menu select Daily Lineup.
TWS Guide 170
Chapter2 Economic Events
Economic Events
Subscription-based event details.
TWS Guide 171
Chapter2 Corporate Earnings
To view Economic Events
From Mosaic - Click the Event Calendars button and select Economic Events. Or, from the
New Window drop down select Event Calendars and then Economic Events.
From Classic TWS - From the Analytical Tools menu select Economic Event Calendar.
Corporate Earnings
Subscription-based event details.
TWS Guide 172
Chapter2 Dividends and Splits
To view Corporate Earnings
From Mosaic - Click the Event Calendars button and select Corporate Earnings. Or, from
the New Window drop down select Event Calendars and then Corporate Earnings.
From Classic TWS - From the Analytical Tools menu select Corporate Earnings Calendar.
Dividends and Splits
Subscription-based details concerning dividends and splits.
TWS Guide 173
Chapter2 IPOs and Secondary Offerings
To view Dividends and Splits
From Mosaic -Click the Event Calendars button and select Dividends/Splits. Or, from the
New Window drop down select Event Calendars and then Dividends and Splits.
From Classic TWS - From the Analytical Tools menu select Corporate Earnings Calendar
and use the drop down field to select Dividends/Splits.
IPOs and Secondary Offerings
Subscription-based IPO/Secondary offering details.
TWS Guide 174
Chapter2 Corporate Events
To view IPO/Secondary Offerings
From Mosaic - Click the Event Calendars button and select IPO/Secondary Offerings. Or,
from the New Window drop down select Event Calendars and then IPO/Secondary Offer-
ings.
From Classic TWS - From the Analytical Tools menu select Economic Event Calendar
and from the drop down window select IPO/Secondary Offerings.
Corporate Events
Subscription-based corporate events details.
To view Corporate Events
From Mosaic - Click the Event Calendars button and select Corporate Events. Or, from the
New Window drop down select Event Calendars and then Corporate Events.
From Classic TWS - From the Analytical Tools menu select Economic Event Calendar
and from the drop down window select Corporate Events.
Fundamentals
Subscriber-based Fundamentals provide comprehensive, high quality financial information on
thousands of companies worldwide.
Customers who subscribe to Reuters Worldwide Fundamentals receive additional global data,
and customers who subscribe to Wall Street Horizon have access to comprehensive high-
TWS Guide 175
Chapter2 Fundamentals
quality financial information on thousands of companies, in the form or company and portfolio
Events Calendars.
To subscribe to Reuters Fundamentals and Wall Street Horizon, log into Account Management,
and use theMarket Data Subscriptionspage. You can access Account Management directly
from within TWS by selecting Account Management Home from the TWS Account menu.
To access Company Fundamentals
1. Select an underlying symbol.
2. Use the right-click menu to select Analytical Tools, and then select Company Fun-
damentals.
TWS Guide 176
Chapter2 Analyst Ratings (Summary)
3. Use the drop-down list in the title bar to change windows. Availability is based on your
subscriptions. Choose from the company Summary, Financial Summary, WSH Corporate
Event Calendar, Dividend Calendar, Analyst Recommendations, Financial Ratios, Fin-
ancial Statements, Analyst Forecasts, Similar Products, SEC Filings, and Insider Trading.
Analyst Ratings (Summary)
Our sell-side Analyst Rating Summary tear sheet provides summary rating and price target
statistics, along with upgrade/downgrade history. It graphs mean ratings history, price target
history and rating distribution over time.
Full display requires subscription to Reuters Fundamentals.
To view Analyst Ratings (Summary)
TWS Guide 177
Chapter2 Short Interest Tear Sheet
From within Mosaic, use the New Window drop down to select Fundamentals then Analyst
Ratings (Summary).
Short Interest Tear Sheet
Keep an eye on short interest profiles with the Short Interest tear sheet. The chart graphs short
interest as a percent of float, days short, or shares short, while the short interest log provides
exact values on a semi-weekly basis.
TWS Guide 178
Chapter2 Short Interest Tear Sheet
To view the Short Interest Tear Sheet
From within Mosaic, use the New Window drop down to select Fundamentals then Short
Interest.
TWS Guide 179
Chapter2 Ownership Tear Sheet
Ownership Tear Sheet
Detailed insider and institutional ownership statistics and graphs to incorporate into your
investment strategies. The Insider and Institutional Ownership tear sheet provides detailed
institutional and insider ownership rosters with a graph of ownership percentage over time, and
an insider trade log.
TWS Guide 180
Chapter2 Ownership Tear Sheet
To view Ownership Tear Sheet
From within Mosaic, use the New Window drop down to select Fundamentals then Own-
ership).
TWS Guide 181
Chapter2 Mosaic News Panel
Mosaic News Panel
The News panel groups all of your news feeds into a single window.
Many of the feeds require a paid subscription. If you are not subscribed, you will not see the
selection in your news list.
Bloomberg TV News Feed
Watch live TV from the Bloomberg TV news feed.
TWS Guide 182
Chapter2 StockTwits News Feed
To watch Bloomberg TV
From within the Mosaic News panel, click the icon to add a page, located at the end of the
current tabset.
Select Bloomberg TV from the drop down list of news feeds.
Click the Play icon to watch news.
Note: Use the Expand function or double-click the title bar to enlarge the Bloomberg TV
viewing screen.
StockTwits News Feed
Add the StockTwits news feed to your Mosaic news panel to find out what real traders and
investors are saying. Real headlines in real language.
TWS Guide 183
Chapter2 Today's Top Ten News
Add the StockTwits news feed
From within the Mosaic News panel, click the icon to add a page, located at the end of the
current tabset.
Select StockTwits from the drop down list of news feeds to create the news feed tab.
Today's Top Ten News
View the top ten news stories from Dow Jones or the StreetInsider by adding Today's Top Ten
to your News panel.
TWS Guide 184
Chapter2 Company Specific News
Click a top news headline to view the full content.
Company Specific News
Displays real-time streaming news headlines for the selected company.
To view Company Specific News
From the Mosaic News panel, click the "+" sign and select Company Specific News.
From the Classic interface, use the Analytical Tools menu and select Company Specific
News.
We include Sentiment and Confidence ranking data from Alexandria Contextual Text
Analytics Engine (ACTA) which is shown in the Rank column. The column uses color
along with a number to indicate a positive, neutral or negative sentiment and the degree of
confidence of the ranking.
Green indicates positive sentiment, and displays a number between 0 and 1, where "1"
indicates the highest confidence in the ranking.
Red indicates negative sentiment, and displays a number between -1 and 0, where "-1"
indicates the highest confidence in the ranking.
TWS Guide 185
Chapter2 Filtered News
Additionally, many headlines now include the sentiment in the headline after the symbol, for
example, "12:13 SS XYZ Positive - Company XYZ Price Target Raised to $120."
Filtered News
View real-time streaming general news that you can filter by subject. Add Market Signals as
part of your integrated news headlines. Note that the Filtered News window cannot be part of a
windows group.
To view Filtered News
From Mosaic - From the News panel, click the "+" sign and select Company Specific News.
Or, from the News button, select Company Specific News.
From Classic TWS - From the Analytical Tools menu select Filtered News.
TWS Guide 186
Chapter2 Market Signals
Market Signals
IB's data servers continuously scan the markets for irregular price and volume actions and
transmit these notifications directly to your TWS in the form of Market Signal alerts. Available
market signals include price spikes, irregular volume spikes, new 52 week highs/lows, put/call
ratio spikes, trading halts and more.
Market Signals can be integrated into the general news headlines in the Filtered News
window, or viewed as a separate feed in the Market Signals window. By default, the Market
Signal alert "Gap On Open" is active in the Filtered News window.
TWS Guide 187
Chapter2 Market Signals
To add Market Signals to Filtered News
From the Filtered News title bar, click the Configure wrench icon.
Ensure that Filtered News is selected in the left pane.
In the right pane, select General News and click Configure Subject Filter next to IBMarket
Signals.
Select the signals to add using the checkboxes and apply.
To use the Market Signals window
From the News panel, click the "+" sign and select Market Signals.
TWS Guide 188
Chapter2 Traders' Insight News Feed
From the Market Signals title bar, click the wrench-shaped Configure icon and then click
Settings.
In the right pane of Global Configuration under Market Signals, click Configure Subject Filter.
Select the signals to add using the checkboxes, and apply.
Traders' Insight News Feed
The IB Traders' Insight, designed to give traders an edge with daily global market commentary
written by traders and industry contributors, is now available as a separate news feed in TWS.
To add a Traders Insight News Feed
From within the Mosaic News panel, click the icon to add a page, located at the end of the
current tabset.
Select Traders Insight from the drop down list of news feeds.
All Traders' Insight headlines use the prefix "TI" to identify them.
Social Sentiment
Social Sentiment is included in the Filtered Feed. Social Sentiment news headlines are
identified by the prefix SS. You can also created a Social Sentiment news tab or floating
window.
TWS Guide 189
Chapter2 Portfolio or Watchlist News
To view Social Sentiment
From Mosaic - From the News panel, click the "+" sign and select Social Sentiment. Or,
from the News button, select Social Sentiment to create a separate window.
From Classic TWS - From the Analytical Tools menu select Social Sentiment.
Portfolio or Watchlist News
Show news for:
Companies in your portfolio, plus news relating to competitors or those companies.
All companies listed in your Watchlists and in the Quote Monitor in TWS, plus news relating
to competitors of those companies.
A custom-defined list of companies.
TWS Guide 190
Chapter2 Broad Tape News
To view Portfolio or Watchlist News
From Mosaic
1. From the News panel, click the "+" sign and select Portfolio or Watchlist News. Or,
from the News button, select Portfolio or Watchlist News to create a separate win-
dow.
2. In the settings dialog to indicate which tickers to use for headlines. Check one or mul-
tiple selections.
From Classic TWS
1. From the Analytical Tools menu select Portfolio or Watchlist News.
2. In the settings dialog to indicate which tickers to use for headlines. Check one or mul-
tiple selections.
Broad Tape News
Displays news from all subscribed news wires.
TWS Guide 191
Chapter2 Analyst Research
To view Broad Tape News
From Mosaic - From the News panel, click the "+" sign and select Broad Tape News. Or,
from the News button, select Broad Tape News to create a separate window.
From Classic TWS - From the Analytical Tools menu select Broad Tape News.
Analyst Research
Research and analysis from top providers.
Analyst Actions
The top panel summarizes upgrade/downgrade activity for companies including those in your
watchlist and portfolio and competitors of those companies. The lower panel provides
upgrade/downgrade details. Yellow tick dot identifies Watchlist or portfolio companies; blue tick
dot identifies category competitors.
TWS Guide 192
Chapter2 Recent Publications
To open the Analyst Actions window
From Mosaic - From the New Window drop down select Analyst Research and then Ana-
lyst Actions.
From Classic TWS - From the Analytical Tools menu, select Analyst Research and then
Analyst Actions.
Recent Publications
Recent headlines from all or any of your subscribed publications are listed.
TWS Guide 193
Chapter2 Market Columns and Reports
To open Recent Publications
From Mosaic - From the New Window drop down select Analyst Research and then
Recent Publications.
From Classic TWS - From the Analytical Tools menu select Analyst Research and then
Recent Publications.
Market Columns and Reports
View briefing.com and Zack's General Market Columns using the selector field. View
subscription-based Morningstar Analyst Reports, Waverly Advisors and Zack's Company
Reports.
TWS Guide 194
Chapter2 Market Columns and Reports
To view Analyst Research Market Columns and Reports
From Mosaic - From the New Window drop down select Analyst Research and then
choose a specific report.
From Classic TWS - From the Analytical Tools menu select Analyst Research and then
choose a specific report.
To subscribe to any subscription- based report, select the report and click More Info to open the
Subscription Manager in Account Management.
TWS Guide 195
Chapter2 Market Columns and Reports
TWS Guide 196
TWS Guide 197
3
Trading Tools
TWS provides a comprehensive collection of specialized trading tools that function separately
as stand-alone windows, and in conjunction with other TWS tools. Our expanding family of
order management applications include:
BasketTrader 203
Send a Basket Order 203
Create a Basket File in TWS 205
Manually Create a Basket File 206
IndexTrader 208
BookTrader 209
Open BookTrader 210
Trade with BookTrader 212
BookTrader Quantity Multipliers 215
BookTrader Order Handling 216
BookTrader Hotkeys 219
BookTrader Colors 225
BookTrader Buttons 228
ChartTrader 229
Open ChartTrader 230
Create and Transmit Chart Orders 231
ComboTrader 233
About Combination Orders 233
TWS Guide 198
Chapter3 Trading Tools
Create a Combination Order 238
Using the ComboTrader 241
Advanced Combo Routing 245
Transmit a Combination Order 248
Notes on Combination Orders 249
EFPs 250
Relevant EFPs 251
EFP Futures Spreads 252
FXTrader 254
The FXTrader Window 254
The FXTrader Trading Cell 255
Using the FXTrader 257
The Integrated Stock Window 258
Quote Panel 258
Book Data Panel 260
ISW Buttons Panel 261
Order Entry Panel (OEP) 263
Auto Orders 264
ISW Order Entry Sub Panels 266
Market Depth 268
Market Depth Trader 268
Market Depth Trader for Bonds 270
Market Depth Buttons Panel 271
Create an Order 272
TWS Guide 199
Chapter3 Trading Tools
Merger Arbitrage Window 274
OptionTrader 276
Using the OptionTrader 277
Loading Option Chains 278
Combo Orders in the OptionTrader 280
The Button Panel 281
OptionTrader Statistics 283
OptionTrader 285
The Order Ticket 288
Basic 288
Advanced Combo Routing 293
Adjustable Orders 296
Scale Orders via ScaleTrader 299
Pegged Orders 301
Volatility Trading 303
Conditional 307
Miscellaneous 309
Pre-Borrow Shares for Shorting 313
About Pre-Borrows 313
Create a Pre-Borrow Order 314
Transactions and Positions 316
317
Pre-Borrow Returns 317
Order Quantity Calculator 319
TWS Guide 200
Chapter3 Trading Tools
Determine Order Quantity 319
Calculate Order Quantity 320
Rapid Order Entry 323
Enter Orders using Rapid Order Entry 323
Update Multiple Orders 325
Create "Instantaneous Transmit" Hot Key 327
Rebalance Your Portfolio 328
The Rebalance Window 329
Import and Export Positions to Rebalance 330
Rebalance for Advisors 334
SpreadTrader 336
Create Futures Spreads with SpreadTrader 337
EFP Futures Spreads 339
Create Option Spreads in SpreadTrader 341
Stock Borrow/Loan 343
About Stock Borrow/Loan 344
Access Stock Borrow/Loan 345
Borrow/Loan Fields 347
Borrow/Loan Transactions 351
Returns/Recalls/Rerates 355
Transactions and Positions 358
360
TWS Blotter 360
Using the TWS Blotter 360
TWS Guide 201
Chapter3 Trading Tools
Understand the Blotter Interface 361
Manual Ticket Entry 363
Advisor Allocations 366
Receive Electronic Tickets 367
Use Color Grouping to Link Blotter Windows 370
Using the Tickets Panel 371
Using The Orders Panel 373
What is an Away Destination? 376
Manage Orders with TWS Algos and Tools 379
Reading the Trades Panel 380
Display Orders by Filter Criteria 380
Order Sharing Modes 382
Configure the Blotter Panels 384
Trade Volatility 387
Volatility Trading 387
Attach a Delta Hedge Order 391
Volatility Trading 392
Write and Roll Options 395
Write Options 395
Write/Roll Options: Option Chains 397
Rollover Options 398
Yield Optimizer 400
Open the Yield Optimizer 400
Compare Borrow Rates 402
TWS Guide 202
Chapter3 BasketTrader
BasketTrader
Use the BasketTrader to manage groups of orders on multiple products, and to easily create an
order group modeled on a popular index.
Send a Basket Order 203
Create a Basket File in TWS 205
Manually Create a Basket File 206
IndexTrader 208
Send a Basket Order
Before you can select and transmit a basket order, you must create and save the basket file.
You can modify a basket order before you send it by adding or removing assets, changing the
multiplier and quantities, and reversing the order sides and then converting limit orders to
market or relative orders. You can also elect to create a basket file based on a selected
indexusing the index composition or statistical composition. Use the criteria selections to fine-
tune your index basket. If you choose to base your index basket on the index composition, the
system automatically keeps the basket in line with the index composition as it changes.
When you send a basket order, each order in the basket is cleared individually. If your account
does not meet margin requirements, it is possible that only a portion of the basket order will
execute.
TWS Guide 203
Chapter3 Send a Basket Order
To send a basket order
1. On the Tools menu, select BasketTrader, or click the Basket icon on the trading toolbar.
2. In the Basket Filefield, use the drop-down list to select a basket, or click the
Browsebutton to find a basket file that doesn't appear in the list. Use the IndexTrader
panel to create a basket based on an index or a portion of an index.
3. Modify the Multiplierif necessary. This value multiplies the quantity of each order in the
basket.
4. Click Load to populate the Orders tab with the orders in the basket.
5. Modify order parameters if necessary, and click Transmit in the Execute Basketpanel to
transmit the entire basket order. You can transmit individual orders within the basket using
the market data lines in the Orders tab and clicking the "T" in the status field.
TWS Guide 204
Chapter3 Create a Basket File in TWS
Create a Basket File in TWS
TWS will automatically create a basket file from a group of non-transmitted orders on a trading
page. When you want to trade or manage baskets, open the basket file from the BasketTrader.
You can create a basket file manually and import it into BasketTrader.
Note: TWScreates a basket file from orders on a single trading page. You can easily
combine orders from multiple files into one using MS Excel.
To automatically create a basket file
From within the Classic TWS interface:
1. Create orders to include in the basket file.
Click the Ask Price on a market data line to create a BUY order.
Click the Bid Price on a market data line to create a SELL order.
2. Modify order parameters and define order attributes.
3. On the Trademenu, select Save Orders as Basket.
TWS Guide 205
Chapter3 Manually Create a Basket File
If Save Orders as Basket is not visible, click the Hidden Features arrow at the bottom of the
menu to display the command.
4. In the dialog box, review or rename the file and use a .csv extension (i.e. stocks.csv) and
click OK.
The system uses the Trading page name as the default basket name.
5. Cancel the orders you created. Use the Trademenu and select Cancel thenCancel All
Orders on Page.
The BasketTrader supports Bracket orders, but baskets that include brackets will have the
Reverse and Cancel and Reverse features disabled. Remember to create the bracket order(s)
on the Quote Monitor and then save the brackets as a basket file. You cannot create bracket
orders within the BasketTrader itself.
Manually Create a Basket File
A valid basket file will have a clean relationship between the header row and order rows. The
header fields can occur in any order as long as the values in the order rows correspond to the
Header field.
Format the basket file as shown below, where the top row is the Header row, and subsequent
rows are order rows. The Header Row includes field titles for each order value. The Order Row
includes order values that correspond with the appropriate Header Row field title for that order
type.
Field 1 Field 2 Field 3 Field 4 Field 5 Field 6 Field 7 Field 8
value value value value value value
value value value value value value value
value value value value value value value value
For example:
TWS Guide 206
Chapter3 Manually Create a Basket File
Notes about creating basket files:
For derivatives, if you use the format YYYYMM, we understand you are using the last trad-
ing day. If you use the format YYYYMM we understand you are identifying the contract
month. Both formats are accepted in column E LastTradingDayorContractMonth.
Valid Header Row fields include all TWS fields. For a starter list of some basic fields, see
the Basket Fields topic.
Child values in the order row fields must match the fields in the parent Header Row in con-
tent. For example, if your Header Row field is Symboland you enter the value STK in that
field of the order row, your file will not be readable.
Basket files created in a text editor must be saved as a .csv (preferred) or .bsk file.
Although not recommended for new files, the .bsk file extension is still supported in the new
basket layout.
For basket files created in a text editor, do not leave a space between a value and its
comma, or TWS will not be able to read the file.
If you create your basket file in Excel, enter only one value (or no value) per cell and DO
NOT use commas.
Save your Excel basket file as a .csv file.
Fields in the Header Row need not be in any specific order as long as they have a cor-
responding correct value in the order row field.
If the order does not require a field value, that field can be left blank.
The major differences between the original and improved basket file formats include:
Old Basket File New Basket File
Old version supported only New version supports all TWS fields.
TWS Guide 207
Chapter3 IndexTrader
limited number of pre-defined
fields.
Old version required you to New version does notrequire any specific
enter order values in a specific order sequence for fields.
sequence.
Old version required only order New version requires a header row with
values (since the "header" order-specific field titles. Use multiple
fields were hard-coded into header rows in a single basket for order
TWS). types that require different field values.
Old version required blank New version requires an exact one-to-one
placeholders for values that relationship between a header field and an
were not required. order value; you cannot leave an order
field blank if there is a header field defined.
Old version was saved as .bsk New version uses .csv (generic) file
(TWS-specific) file. extension.
IndexTrader
The IndexTrader helps you create a basket order based on an index. Use the IndexTrader as a
standalone window, or as the Index Panel in the BasketTrader window.
TWS Guide 208
Chapter3 BookTrader
To open the IndexTrader
From the Trading Tools menu, select IndexTraderfrom the Multi Contract group.
BookTrader
Create an order at any price, including the best bid and ask, with a single click in the
BookTrader price ladder.
Open BookTrader 210
Trade with BookTrader 212
BookTrader Quantity Multipliers 215
BookTrader Order Handling 216
TWS Guide 209
Chapter3 Open BookTrader
BookTrader Hotkeys 219
BookTrader Colors 225
BookTrader Buttons 228
Open BookTrader
Create an order at any price, including the best bid and ask, with a single click in the
BookTrader price ladder. BookTraderdisplays as a separate window for whichever contract
you select. It shows a series of prices above and below the best bid and ask in the price ladder.
To open BookTrader
1. Select a contract on the trading page.
2. Right click and select Trading Tools, then select BookTrader.
TWS Guide 210
Chapter3 Open BookTrader
Orders transmitted from BookTrader are displayed on the Pendingpage and in the Orders
panel of the BookTrader.
NOTES:
The number of deep book data windows that you can display at one time (including
BookTrader, ISW and Market Depth) is equal to 1 for every 100 allowed lines of market data,
with a minimum of three and a maximum of 30. Market data allowance is based on com-
missions, available equity and other criteria. So a client with the minimum allowance of 100
lines of market data will be able to open 3 deep book windows. A client with an allowance of
500 lines of market data will be able to open 5 unique deep book windows.
For details on how market data allowances are calculated, see theMarket Data and
Newsoverview page on the IB website.
When subscription deep book data is at its window limit, additional windows will display
aggregated top level data, and the Deep Button panel will be hidden.
By default, BookTrader uses specific colorsto convey information. You can customize these
colors by clicking the Configure button on the toolbar, and then selecting BookTrader Col-
ors.
The current Cumulative Bid and Ask sizes are displayed at the top of the Bid Size and Ask
Size columns. To turn this feature off, use the Configure> Settingspage.
When the inside market (or last trade price) moves outside the display area, the ladder will
automatically re-center on the inside market (or last trade price). When the user is scrolling
the ladder using either the Up/Down arrow keys or the scrollbars, and the inside market (or
last trade price) falls outside of the display area, auto-recentering will occur five seconds
after the user has completed scrolling. This five-second time period is counted down visu-
ally using an optional animated progress bar which is configurable in the Re-center panel of
the BookTrader Settings page.
By default, clicking in any size field initiates an order. If the order hasn't filled and you click
another size, the current unexecuted order is canceled and replaced with the new order.
TWS Guide 211
Chapter3 Trade with BookTrader
You can modify the way multiple same-side orders are handled from the Settings page in
BookTrader configuration.
You can open a blank BookTrader window by clicking the BookTrader icon on the trading
toolbar. Use the Underlying field to initiate contract selection.
Trade with BookTrader
To trade with BookTrader, click the Bid Size or Ask Size at a certain price level in the price
ladder. The first time you submit an order, you will be asked to confirm the order parameters. In
this box you have the option not to show the confirmation box again, and if you elect this option
your orders will transmit instantaneously from that point forward.
Default mouse actions are described below. You can modify the default settings that control
how orders are handled using the Settingspage in BookTrader configuration.
By default, the option to Use context cursors in armed modeis activated on the BookTrader
Settings configuration page. This feature displays helpful order-related information when you
hold your cursor over the Bid Size or Ask Size field in the price ladder.
TWS Guide 212
Chapter3 Trade with BookTrader
To create a SELL Limit order in BookTrader
In the price ladder, click the Ask Sizeat the desired price level.
A limit order is created at the selected price level. You can manage the transmitted order from
the Orders panel at the top of the price ladder.
To create a BUY Limit order in BookTrader
In the price ladder, click the Bid Size at the desired price level.
A limit order is created at the selected price level. You can manage the transmitted order from
the Orders panel at the top of the price ladder.
Use the BookTrader Quantity Multiples to create a series of quick-click buttons at different size
multiples of the default order quantity.
BookTrader Default Click Actions
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The bullets below define the mouse click actions based on where you click:
Click on any Bid sizeto create a Buy Limit order at the selected price.
Click on any Ask sizeto create a Sell Limit order at the selected price.
Right-clickon any Bid sizeto create a Buy Stop order.
Right-clickon any Ask sizeto create a Sell Stop order.
Hold the Altkey and click on any Bidor Asksize to create a Bracket order.
Note: Note: The default click actions do not apply IF you have selected one of the
BookTrader Order Type Select buttons.
For details on all system-configured BookTrader shortcuts, open the
BookTrader Hotkeyswindow in Global Configuration.
Default order information comes from the active order presets for the contract or instrument. For
information on using presets, see the Configure Order Defaults and Presetstopic.
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BookTrader Quantity Multipliers
To help speed order placement, you can define size multipliers in the order Preset that will
create multiples of the default order size and display them as quick-click order buttons in the
BookTrader price ladder.
To set up BookTrader multipliers, use the Timing and Size section of the Order Presets. You
can quickly access this page by clicking the Configure wrench at the bottom right of the
BookTrader Configure menu.
Activate the feature within BookTrader by selecting Display size multiple in Price Ladder from
the BookTrader Configure menu.
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Chapter3 BookTrader Order Handling
The size multiple creates and submits instantaneous orders in the amounts specified x lot size.
In the above image for a stock, clicking the "6" multiple will create an order for 600 shares (6 x
100).
BookTrader Order Handling
Use the Configure>Settingsarea in BookTraderto change the way orders are handled and
how the order status is displayed. For details see the Configure BookTrader topic.
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Chapter3 BookTrader Order Handling
When you select Show separate status column for each orderin the Price Ladder Status
Column area of the Settings configuration page, BookTrader works in Advanced Mode. This
enables several key features:
First, it allows you to control BookTrader using only your keyboard. The mouse will still work
to navigate, but for users who don't want to take the time to move from the keyboard to the
mouse and back again, advanced mode gives you 100% keyboard control.
Second, when you create an order, a new Ordercolumn is created in which all parts of the
order (parent and child orders) are visible and can be modified. The new Ordercolumn
appears to the right of the price column for SELL orders (which you initiate by clicking in the
Ask Sizefield) and to the left of the price column for BUY orders (which you initiate by click-
ing in the Bid Sizefield).
Third, the order type select buttons become available for activation.
Note: You can click in the Order column to create child orders that belong to the parent
order in the Order column.
For example, if you create a buy Limit order, and then select the Target Limit order type
button, when you click at a different price level in the Ordercolumn (rather than in the
Size column) the target limit order is created as a child of the original limit order. If you
click the Ask Size or Bid Size column, a new Order column is created with another order.
Each new Order column may contain up to 4 elements:
The parent order (LMT)
The stop order (STP)
The stop limit (SLMT)
The target limit order (TLMT) - this is the limit order created as part of a bracket order, or a
stand-alone opposite-side limit order.
There are three ways to modify the price of an order; via the keyboard, by dragging with the
mouse, or by using the mouse click.
To modify order price via the keyboard
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Chapter3 BookTrader Order Handling
1. Tab through the application until you are in the Price Ladder.
2. Use the up/down arrows to highlight the order line in the price ladder.
3. Use the left/right arrow keys to navigate to the order you want to modify.
4. Depress the Shiftkey to grab the order, and use the up/down arrow keys to move the
order to a new price level.
5. Release the Shiftkey to transmit the new order.
To move parent and child orders together, for example a bracket or stop limit order, depress and
hold the Alt key instead of the Shift key.
To modify order price by dragging with the mouse
1. Hold the mouse over the order until it becomes a two-headed arrow.
2. Click the order or suborder and drag it to a new price level.
3. Release the mouse key to create the order.
To move parent and child orders together, for example a bracket or stop limit order, press and
hold the Alt key while you click and drag.
To modify order price with a mouse click
1. Click the order and press and hold the Shiftkey.
2. Click in the desired price level and release the Shift key to create the order.
To move parent and child orders together, for example a bracket or stop limit order, press and
hold the Alt key instead of the Shift key in 1) above.
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Chapter3 BookTrader Hotkeys
The size of the order can be modified in the Order Confirmation box, or by clicking in the row
header and entering a new quantity as shown above.
Suborders can be canceled by right clicking on them (default) or using a hotkey. The bracket
can be can canceled by clicking the Con the row header.
BookTrader Hotkeys
This topic discusses the hotkeys that are specific to BookTrader or that have customizable
options specific to BookTrader.
For information on hotkeys that appear in the BookTrader hotkeys box but are available to all
TWS windows, see the general Hotkeys topic.
Hotkey Action Description
BookTrader
Cancel Sub This hotkey will cancel an order in the Price Ladder.
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Chapter3 BookTrader Hotkeys
Order
Decrease Set a left or right mouse-click event for a specific field that will
BookTrader decrease the order size of any BookTrader order by whatever
Order Size number of ticks you define.
Increase Set a left or right mouse-click event for a specific field that will
BookTrader increase the order size of any BookTrader order by whatever
Order Size number of ticks you define.
Re-center Set a hotkey to recenter the focus to either the last traded
price, or the midpoint bid/ask price. Set the re-center focus
using the Settingspage in the BookTrader configuration area.
Create Orders
Add Auto Attaches an opposite-side stop order to the selected order.
Stop Order
Add Trailing Attaches an opposite-side trailing stop order to the selected
Stop Order order.
Attach Attaches a pair of orders (a limit and a stop order) to bracket
Bracket the selected order.
Orders
Buy Creates a buy order for the selected asset.
Buy or Sell Create a hotkey to buy or sell a specific product with it's own
Specific default order type, limit price, stop offset, time in force. etc.
Product Use the Customize tab of the Configure Hotkey box to set
product-specific details.
If you select BookTrader Price for any of the price
configurations, you will only be able to set a mouse-click
shortcut since using the BookTrader Price requires you to
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Chapter3 BookTrader Hotkeys
click on a price in the price ladder.
Close Creates an opposite-side order to close out the position on
Position the selected contract.
Reverse Creates an opposite-side order to reverse the position on the
Position selected contract. By default you need to transmit the order
manually, but you can elected to have this hotkey transmit
reverse position orders instantaneously by checking the
feature in the Customizearea of the Configure Hotkeybox.
Sell Creates a sell order for the selected asset.
Modify/Transmit Orders
Change Order Changes the order type of the selected order to a market
to Market order.
Decrease Decreases the order price or order quantity by a specified
Price or Size value.
Increase Price Increases the order price or order quantity by a specified
or Size value.
Modify Order Displays the Typedropdown list to let you select a different
Type order type for the active order.
Modify Time- Displays the Time in Force dropdown list to let you select a
in-Force different Time in Force for the active order.
Order Ticket Opens the Order Ticket. If you've highlighted a ticker, the
order ticket will be populated with that product.
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Chapter3 BookTrader Hotkeys
Transmit Transmits the selected order.
Order
Update Limit Updates the limit price of the active, unexecuted order to
Prices reflect the price/offset you define on the Customizepage of
the Configure Hotkey box.
Cancel Orders
Cancel All Cancels all orders on all pages in TWS.
Orders
Cancel Cancels all orders associated with a specific asset.
Contract's
Orders
Cleanup Removes orders from the page. Use the customize area of
orders the configure Hotkey box to define whether to remove
cancelled, filled and/or untransmitted (including deactivated)
orders from either the active pages or all pages.
Deactivate A deactivated order is cancelled but remains on the page
ready to be transmitted.
Delete This hotkey can be configured to either delete rows, or delete
Rows/Cancel and cancel orders.
Orders
Tools
Add to Used to add a contract to the Rebalance window. This hotkey
Rebalance does not open, close or adjust any positions.
Window
Arbitrage Opens the Arbitrage Meter for the active index market data
Meter line.
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Chapter3 BookTrader Hotkeys
Integrated Opens the ISW.
Stock Window
Show Opens the FX Trader module.
FXTrader
Show Market Opens the Market Depth module.
Depth
Show Opens the OptionTrader.
OptionTrader
Show Opens the portfolio Rebalance window.
Rebalance
Window
Show Opens the SpreadTrader.
SpreadTrader
Realtime Activity Monitoring
Alarms Opens the Alarm Settings box for the active contract.
View Alerts Opens the Alerts window where you can view, edit or create
an alert.
Analysis
Model Opens the Model Navigator window.
Navigator
Show Opens a Reuters Fundamentals page for the contract.
Fundamentals
Show IB Risk Opens the IB Risk NavigatorSM, our real-time price/risk
NavigatorSM analytics tool.
Show Option Opens the Option Analytics with focus on the selected
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Chapter3 BookTrader Hotkeys
Analytics options contract.
Show real- When you have a contract selected, this opens the New Chart
time charts window where you can set parameters for the active contract
to create a real-time chart.
Miscellaneous
Clear Log Clears the Log panel.
Configure Opens the Presets configuration page for the active strategy.
Order Presets
Help Chat Opens the customer service Chat area of the Account
Management screen.
Minimize all Minimizes all open windows and puts them on the bottom of
windows the status bar.
Msg Center Opens the customer service message center.
Request Logs you into the Customer Service area of the Account
Trade Management screen.
Cancellation
Search TWS Displays the Search field which you can use to find contract
and application information.
Show Displays the Description box for the selected contract.
Description
Show Details Displays contract details for the selected contract.
Show For the selected contract, displays the Earnings estimate.
Earnings
Estimate
Show For the selected contract, shows the account number and the
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Chapter3 BookTrader Colors
Positions current position.
View Account Opens the Account window.
View Trades Opens the Trades window.
BookTrader Colors
BookTrader displays a lot of information in a small space using colors and numbers.
Market Data Colors
The market data colors display after BookTrader is armed but before any order is transmitted.
The Bid Sizecolumn shows marketable bid prices in yellow. Values in this column rep-
resent the size of an order at the specific price, and help show market depth.
The Ask Sizecolumn shows marketable ask prices in green. When a size appears in an
ask size field, this indicates the current best ask.
The Status field remains gray until you submit an order.
Price Field - Background Colors
The current best bidprice is shown by a Yellowbackground, with the size next to it in the
Bid Size field.
The current best askprice is shown by a Green background, with the size next to it in the
Ask Size field
The Lasttransaction is highlighted by a Slate Blue background.
The Highprice is highlighted by a Bright Blue background.
The Lowprice is highlight by a Red background.
The Average Cost (including commissions) is indicated by a highlight across the entire
row. You'll only see this if you hold a position in the active contract.
BookTrader Colors
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Chapter3 BookTrader Colors
Column Possible Notes
Name Color
Status Once you transmit an order, the status colors change. See
Order Status Colors table below.
Bid Size Indicates the size of the current best bid.
Indicates that a limit order has been transmitted (by
clicking in the field).
Indicates a stop order has been transmitted (by right-
clicking in the field).
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Chapter3 BookTrader Colors
Price No color One in a range of prices displayed for the contract.
The current best bid price.
The current best ask price.
The price at which the last order executed, and the size of
the order.
The current high price.
The current low price.
Ask Size Indicates the size of the current best ask.
Indicates that a limit order has been transmitted (by
clicking in the field).
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Chapter3 BookTrader Buttons
Indicates a stop order has been transmitted (by right-
clicking in the field).
BookTrader Buttons
Order Type Select buttons
When you configure the Price Ladder Status Column to Show separate status column for
each orderfrom the Settings configuration page, the Order type select buttons function becomes
available.
These buttons override the default mouse click functions of BookTrader to create only the order
type selected. For example, if you click the LMT order type select button, any mouse click you
perform in the price ladder, even a right-click, creates a limit order.
To release the order type function and return to the default click actions, click None.
Basic Buttons panel
The BookTrader toolbar also includes a basic buttons panel.
Cancel All - cancels all orders on the active BookTrader.
Clear Log - clears all order information from the white log area just above the buttons.
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Chapter3 Deep Book buttons
Re-center- click to keep the best bid/ask price or last traded price always visible in the cen-
ter of the BookTrader screen. Use the Configure menu to elect to have the ladder recenter
around the midpoint of the bid/ask, or the last price.
Configure- opens the Configurationdialog box.
Hotkey Details - displays a list of all current hotkeys for BookTrader.
Default size- displays the default order size based on the Preset for the instrument, and
allows you to change the default order size for BookTrader orders without re-configuring the
Preset.
Deep Book buttons
Use the Deep Book Buttons to filter out market data from the price ladder. De-select a button to
filter out that data.
The Othersbutton includes data from exchanges that dont offer deep data; Level I data from
deep exchanges you have elected to filter out, and Level I data for exchanges that offer deep
data but to which you do not subscribe. Hold your mouse over the button to see the exchanges
data included.
ChartTrader
Use the ChartTrader to create and send orders directly from within any real-time chart.
Open ChartTrader 230
Create and Transmit Chart Orders 231
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Chapter3 Open ChartTrader
Open ChartTrader
You can trade directly from a real-time chart using ChartTrader, which you display from the
ChartTrader menu from within a chart. Send instantaneous orders by clicking directly in the
chart, or create and modify an order from the Quote panel.
To open ChartTrader
1. First open a real-time chart by selecting a contract on the trading screen and using the
right-click menu to select Charts, then New Chart.
2. From the Viewmenu, select ChartTrader.
3. The ChartTrader is activated and displays the Orders, Log, Trades and Portfolio panels.
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Chapter3 Create and Transmit Chart Orders
Create and Transmit Chart Orders
ChartTrader is designed to instantaneously transmit orders created with a single click within the
chart. Order parameters are picked up from the active order preset. Button actions and order
defaults can be set from the Chart configuration page
Instantaneously transmit an order
1. Open the chart Configuration page, and choose Buttons.
2. Select a button and click Edit.
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Chapter3 Create and Transmit Chart Orders
3. Check the red Transmit order instantaneously checkbox and click OK.
4. On the button panel, click the button you set up for instantaneous transmit to arm your
cursor.
Any buttons set for instantaneous transmit will have an asterisk (*) next to their name.
5. Move your cursor into the chart and position the broken blue (for Buy) or red (for Sell) line
at the order price you want. Note that your exact price is displayed along the price axis.
6. Click to transmit an order. Your order appears in the Quote panel, and the broken line
becomes solid.
You can also create orders that do not transmit instantaneously.
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Chapter3 ComboTrader
Create a Non-Instantaneous Order
From the Quote panel, click Bid (sell) or Ask (buy) to create an order in the Orders panel.
Note that you can also configure the ChartTrader buttons to create a modifiable order by
unchecking the red Transmit order instantaneouslycheckbox on the button configuration page.
ComboTrader
Create combination orders that include options, stock and futures legs. Note that only US
option-stock and option-option combo orders are guaranteed by IB to fill.
About Combination Orders 233
Create a Combination Order 238
Using the ComboTrader 241
Advanced Combo Routing 245
Transmit a Combination Order 248
Notes on Combination Orders 249
About Combination Orders
Create combination orders that include options, stock and futures legs (stock legs can be
included if the order is routed through SmartRouting). Although a combination/spread order is
constructed of separate legs, it is executed as a single transaction if it is routed directly to an
exchange. For combination orders that are SmartRouted, each leg may be executed separately
to ensure best execution. You can also create a futures EFP (Exchange of Futures for Physical)
spread.
For details on using the VOL order type for combination orders, see the list of criteria in the
Volatility Trading topic.
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Chapter3 About Combination Orders
You can create a unique combination by manually defining an order leg by leg on the Pair of
Leg-by-Leg tab, or create an order or group of orders with a named strategy using a template,
on either the Multipleor Strategytab. You can find a template to construct the following named
combination strategies:
Box - An order to simultaneously purchase and sell two synthetics in identical numbers at
different strike prices.
For example: Buy 1 April02 95 call, Sell 1 April02 95 put, Sell 1 April02 100 call, Buy 1
April02 100 put.
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Chapter3 About Combination Orders
Butterfly - An order to simultaneously purchase an option with one strike price, purchase an
option with a second strike price, and sell two options with a third strike price that is midway
between the prices of the first two options. The ratio for a butterfly is always 1 x 2 x 1.
For example: Buy 10 March02 95 calls, Sell 20 March02 100 calls, Buy 10 March02 105
calls.
Buy Write- An order to simultaneously purchase (sell) a stock and sell (purchase) a call
option of the same underlying.
Purchase a Buy Write: Sell 1 XYZ April06 95 call, Buy 100 shares XYZ
Sell a Buy Write: Buy 1 XYZ April06 95 call, Sell 100 shares XYZ
Calendar spread- An order to simultaneously purchase and sell options with different expir-
ation dates, where both have the same underlying, right (call or put) and strike price. This
spread is sometimes referred to as a time spread. A calendar spread whose options have dif-
ferent expiration dates and different strike prices is sometimes referred to as a diagonal
spread.
For example: Buy 1 June15 100 call, Sell 1 March15 100 call.
Collar - An order to simultaneously buy (or sell) a put option and sell (or purchase) a call
option in identical numbers where both have the same underlying and expiration date, but
the call generally has a higher strike price, and buy (or sell) the underlying stock.
Purchase a collar: Sell 1 XYZ APR 17 '14 190 CALL, Buy 1 XYZ APR 17 '14 185 PUT, Buy
100 share of XYX
Sell a collar: Buy 1 XYZ APR 17 '14 190 CALL, Sell 1 XYZ APR 17 '14 185 PUT, Sell 100
share of XYX
Conversion- An order to simultaneously sell (or purchase) a call option and purchase (or
sell) a put option in identical numbers where both have the same underlying, expiration date
and strike price, and purchase stock of the same underlying.
Purchase a conversion: Sell 1 XYZ April04 75 call, Buy 1 XYZ April04 75 put, Buy 100
shares XYZ
Sell a conversion: Buy 1 XYZ April04 75 call, Sell 1 XYZ April04 75 put, Sell 100 shares
XYZ
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Chapter3 About Combination Orders
Delta Neutral - An order to simultaneously buy (or sell) options contracts and sell (or buy) a
delta amount of the underlying. The quoted price is calculated as follows: effect-
iveOptionPrice = optionPrice + delta x (inputStockPrice - stockPrice).
Diagonal spread- An order to simultaneously purchase and sell options with different expir-
ation dates and different strike prices, where both have the same underlying and right (call
or put).
For example: Buy 1 June03 100 call, Sell 1 Sept03 105 call.
Iron Condor- An order to simultaneously purchase an out-of-the-money put bull spread,
and sell an out-of-the-money call bear spread, where all legs have the same expiry.
Purchase an iron condor: Buy 1 XYX JAN08 25.0 PUT, Sell 1 XYZ JAN08 27.5 PUT, Sell 1
JAN08 30.0 Call, Buy 1 JAN08 32.5 Call.
Sell an iron condor: Sell 1 XYX JAN08 25.0 PUT, Buy 1 XYZ JAN08 27.5 PUT, Buy 1
JAN08 30.0 Call, Sell 1 JAN08 32.5 Call.
Reversal- An order to simultaneously purchase (or sell) a call option and sell (or purchase)
a put option in identical numbers where both have the same underlying, expiration date and
strike price, and sell stock of the same underlying.
Purchase a reversal: Buy 1 XYZ April04 75 call, Sell 1 XYZ April04 75 put, Sell 100 shares
XYZ
Sell a reversal: Sell 1 XYZ April04 75 call, Buy 1 XYZ April04 75 put, Buy 100 shares XYZ
Risk Reversal- An order to simultaneously purchase (or sell) a put option and sell (or pur-
chase) a call option in identical numbers where both have the same underlying and expir-
ation date, but the call generally has a higher strike price.
Purchase a risk reversal: Buy 1 XYZ April04 75 put, Sell 1 XYZ April04 95 call
Sell a risk reversal: Sell 1 XYZ April04 75 put, Buy 1 XYZ April04 95 call
SSF/OPT- An order to simultaneously buy (or sell) one contract of a single stock future
(SSF) and buy (or sell) a stock option of the same underlying.
For example: Sell 1 Oct06 60.0 call, Sell 1 Aug06 SSF.
Straddle- An order to simultaneously purchase (or sell) a call and a put in identical num-
bers, where both have the same underlying, expiration date and strike price.
For example: Sell 1 Dec02 90 call, Sell 1 Dec02 90 put.
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Chapter3 About Combination Orders
Strangle- An order to simultaneously purchase a call and a put with different strike prices,
where both have the same underlying and expiration date. In the case where both the call
and the put are out of the money, this order is referred to as an inside strangle.
For example: Buy 1 June02 95 put, Buy 1 June02 105 call.
Stk/Opt- An order to simultaneously purchase (or sell) one stock contract and purchase (or
sell) one options contract.
For example: Sell 1 Jan07 55.0 put, Sell 100 shares of the underlying.
Synthetic- An order to simultaneously purchase a call and sell a put in identical numbers
(or sell a call and purchase a put in identical numbers), where both have the same under-
lying, expiration date and strike price.
Purchase a synthetic: Buy 1 April02 100 call, Sell 1 April02 100 put.
Sell a synthetic: Sell 1 April02 100 call, Buy 1 April02 100 put.
Synthetic Put- An order to simultaneously purchase (or sell) a call option and sell (or pur-
chase) stock where both have the same underlying.
Purchase a synthetic put: Buy 1 XYZ April03 75 call, Sell 100 shares XYZ
Sell a synthetic put: Sell 1 XYZ April03 75 call, Buy 100 shares XYZ.
Synthetic Call- An order to simultaneously purchase (or sell) a put option and purchase (or
sell) stock where both have the same underlying.
Purchase a synthetic call: Buy 1 XYZ April03 75 put, Buy 100 shares XYZ
Sell a synthetic put: Sell 1 XYZ April03 75 put, Sell 100 shares XYZ.
Vertical spread - An order to simultaneously purchase and sell options at different strike
prices, where both have the same underlying, right (call or put) and expiration date. This
spread is sometimes referred to as a price spread.
Call vertical spread example: Buy 1 June02 100 call, Sell 1 June02 105 call.
Put vertical spread example: Buy 1 March02 105 put, Sell 1 March02 95 put
For more information on combination orders and margin requirements for combination orders,
see U.S. Equity Options Margin Requirements on the IB website.
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Chapter3 Create a Combination Order
Create a Combination Order
You can create any kind of combination spread order using the Combination
Compositionbox, including multiple leg combos, futures spreads and EFPs, and inter-market
Smart combos.
To create a combo order
1. Enter an underlying on a blank line and select Combinations, then choose from the avail-
able combo selection types, including Smart option combos, Futures Spreads and EFPs.
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Chapter3 Create a Combination Order
2. From the Pair or Leg-by-Leg tab, define each leg.
3. After you have added all desired legs click OK, and the spread appears as a market data
line on your quote monitor.
The implied price is calculated based on the underlying price of each leg, and changes with
variations in the price of each underlying. Based on the implied price, SmartRouting will route
each leg of the order separately to get the best price.
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Chapter3 Create a Combination Order
Note: To see individual leg prices for a combination or spread order, open the
Executionreports window by clicking the Trades icon on the Trading Toolbar. Double-
click the desired combination execution report line in the Executionwindow (or right-
click on the line and select Show Legs)to open the Execution Window for Legs.
To create an EFP combo
1. Enter an underlying on a blank line and select Combinations, then select EFPs.
2. Click the Single tab at the top of Combo Selection box.
3. Choose Futuresas the leg type, and Future EFP as the strategy.
4. Select the last trading day on the futures leg and click OK.
Note: EFP combos created using the template are Smart-routed.
To create a combination strategy
1. Right-click on a blank line and select Generic Combo, or create a market data line with
the instrument type Comb.
2. In the Leg Query section, enter the underlying symbol for the first leg of the order.
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Chapter3 Guaranteed and Non-Guaranteed Combo Orders
3. Use the Combo Template tab to select a strategy.
4. Select data for all legs of the order and click OK. The combination order strategy appears
on your trading screen as a market data line.
Guaranteed and Non-Guaranteed Combo Orders
IB supports both guaranteed (where executions are guaranteed to be delivered simultaneously
for each leg and in proportion to the leg ratio) and non-guaranteed combo orders. To
understand the differences between guaranteed and non-guaranteed combination orders,
please see the knowledgebase article.
Notes on using Futures legs
Intermarket combos that contain futures legs are supported for contracts on the following
exchanges: Globex, One Chicago, CFE, EurexUS.
Only US contracts are supported for Smart combos.
Using the ComboTrader
ComboTrader provides three tabbed interfaces to help you create multi-legged spreads for
futures and options.
Multiple combos
Use the Multipletab to create a group of individual combination orders on the same underlying
at the same time. For certain strategies including Diagonals, boxes, Strangles, Risk Reversals,
and Vertical Spreads you can filter by Point Spread.
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Chapter3 Strategy combo
Strategy combo
Use the Strategytab to select a recognized combination order and define the necessary
parameters. Note that for exchanges that list both American and European style options, a
Trading Class field presents a dropdown list of available classes.
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Chapter3 Strategy combo
Field Description
Name
Underlying Enter the underlying symbol.
Type Select the instrument type for the strategy. Choose Options or
Futures.
Strategy Combination strategies are listed based on the Leg Typeyou
selected. For descriptions of all combination strategies, see the
Combination Orderstopic. Use the Help button for strategy
descriptions.
Multiplier Select the contract multiplier.
Worksheet Select Sell Comboor Buy Comboin the graph drop-down to see
what the combination order looks like.
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Chapter3 Strategy combo
The worksheet categories display drop-down list boxes each time
you need to make a selection. Move through the worksheet and
select choices as needed.
Reset Click Reset to start over, either by selecting another strategy or
editing the legs of the chosen strategy.
Request Check to create a market data line for each leg of the order, to be
market displayed on the trading screen.
data for
legs
Pair or Leg-by-Leg Combo
Use the Pair or Leg-by-Leg tab to create the combination one leg at a time.
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Chapter3 Advanced Combo Routing
Advanced Combo Routing
Advanced combo routing (defined from the Basic tab of the Order Ticket) lets you control how
each leg of a complex combination order is handled. Define advanced combo routing for both
guaranteed and non-guaranteed combination orders routed to Smart. Selections displayed are
based on the combo composition and order type.
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Chapter3 Advanced Combo Routing
To use advanced combo routing
1. Create the Smart combination strategy.
2. From the combo line on the Quote Monitor, click the Bid or Ask price to create a (sell or
buy) order.
3. Right-click the order line and select Modify then select Order Ticket.
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Chapter3 Advanced Combo Routing Fields (available based
on selected Order Type):
Based on the combo composition and the Order Type, the Advanced Combo Routing
selections are displayed. You can monitor the progress of the combo order by holding your
mouse over the Status field of the order line.
Advanced Combo Routing Fields (available based on selected Order Type):
Field Name Description
Order Type Choose from the basic order types as well
as: Relative + Market, Limit + Market, Trail-
ing Relative + Market and Trailing Limit +
Market.
Select leg to fill first For orders that are being legged-in, the
chance exists that only the first leg of the
combo will fill and you will be left with one
unexecuted leg. Use this field to specify
which leg is submitted and potentially filled
first. Use the dropdown list to pick.
Maximum leg-in combo size: The order is submitted in pieces, or seg-
ments. This is the maximum size of each seg-
ment.
Do not start next leg-in if Specify whether or not the system should
previous leg-in did not finish: attempt to fill the next segment before the cur-
rent segment fills.
Convert second leg order to These settings allow you to specify when (if
market order if... ever) the second leg should be changed to a
market order to fill right away, in cases
where the first leg fills and the second leg
does not and ends up sitting as a non-mar-
ketable limit order at the exchange,
...or if the price backs off by... Provides a way to specify a stop-loss to fill
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Chapter3 Transmit a Combination Order
Field Name Description
the unexecuted leg of a combo by changing
the leg to a market order if the price backs off
by the specified amount.
Discretionary Amt In cases where one leg fills and the other
doesn't, the discretionary amount indicates
how much you are willing to pay to fill the
combo.
Transmit a Combination Order
To create a combination order
Before you transmit a combination order, carefully review your order parameters on the order
management line, or from the Order Ticket window by clicking Accept.
TWS Guide 248
Chapter3 Notes on Combination Orders
1. From the market data line, click the "Ask" or "Bid" price for the combination order you want
to create.
Click the Ask Priceto create a Buy order.
Click the Bid Priceto create a Sell order.
2. On the Order Management line, modify order parameters, if needed.
Note on Pricing: If you buy a spread and you owe cash (debit spread), enter a positive
limit price. If you buy a spread and you receive cash (a credit spread), you must enter a
negative limit price. Conversely, if you sell a spread and receive cash, enter a positive
limit price. If you sell a spread and owe cash, you must enter a negative limit price.
For example, an April 20 xyz call shows a BID price of 6.60 and an ASK price of 6.70. An
April 30 xyz call shows a BID price of 0.15 and an ASK price of 0.20.
If you buy a "debit" call vertical spread with the following legs:
Buy 1 OPT APR02 20.0 CALL (6.70)
Sell 1 OPT APR02 30.0 CAL L (0.15)
For this transaction you pay: 6.55 (a debit transaction)
If you buy a "credit" call vertical spread with the following legs:
Sell 1 OPT APR02 20.0 CALL (6.60)
Buy 1 OPT APR02 30.0 CALL (0.20)
For this transaction you receive 6.40 (a credit transaction; enter a negative limit price).
3. Transmit the order.
Notes on Combination Orders
This page contains notes and tips on creating and transmitting combination orders.
Use SmartRouting to execute legs separately to ensure you get the best price on all legs of
your order.
Some exchanges that currently support native combination orders (which means they
execute the legs together as one transaction) include:
TWS Guide 249
Chapter3 EFPs
ISE
ONE
DTB (Euro)
Note on pricing: If you buy a spread and you owe cash (debit spread), enter a positive limit
price. If you buy a spread and you receive cash (a credit spread), you must enter a neg-
ative limit price. Conversely, if you sell a spread and receive cash, enter a positive limit
price. If you sell a spread and owe cash, you must enter a negative limit price.
For example, an April 20.0 xyz call shows a BID price of 6.60 and an ASK price of 6.70. An
April 30 xyz call shows a BID price of 0.15 and an ASK price of 0.20.
If you buy a "debit" call vertical spread with the following legs:
Buy 1 OPT APR02 20.0 CALL (6.70),
Sell 1 OPT APR02 30.0 CALL (0.15)
For this transaction you pay: 6.55 (a debit transaction)
If you invert the legs and buy a "credit" call vertical spread with the following legs:
Sell 1 OPT APR02 20.0 CALL (6.60)
Buy 1 OPT APR02 30.0 CALL (0.20)
For this transaction you receive 6.40 (a credit transaction, enter a negative price)
Before you transmit a combination order, carefully review the order parameters from the
Order Management line.
EFPs
Enter Exchange for Physical (EFP) spreads.
Relevant EFPs 251
EFP Futures Spreads 252
TWS Guide 250
Chapter3 Relevant EFPs
Relevant EFPs
Introduction
Using an Exchange of Futures for Physical (EFP), which allows the swap of a long or short
stock position for a Single Stock Future (SSF) could help to reduce your trading costs. The
Relevant EFPs Market Scanner scans the US market and returns all EFPs relevant to you
based on the stock and single stock futures positions you currently hold. You can access this
tool from the toolbar, or by selecting US EFPs as the Instrument and Relevant EFPsas the
Parameter in the Market Scanner page.
For more details on how using EFPs could reduce your trading costs, see the EFPs Product
Highlights.
To view Relevant EFPs
TWS Guide 251
Chapter3 EFP Futures Spreads
1. On the trading toolbar, click the Relevant EFPs icon.
The Relevant EFPsscanner page opens with all fields populated with the correct EFP
selection.
2. Click Search if no values have been returned.
Note that this page is for display only. To trade one of these EFPs, click and hold, then drag it
onto your trading page, or right-click and select Editthen select Copy. Open a trading page and
use the right-click menu to select Editthen select Paste.
EFP Futures Spreads
An EFP (Exchange for Physical) is a combination order to sell/buy stock and buy/sell an SSF
(single stock future).
To create an EFP in SpreadTrader
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Chapter3 EFP Futures Spreads
1. From the Trading Tools menu select SpreadTrader.
2. Enter a symbol in the underlying field and hit Enter.
3. Select EFPs for xxxand then select the routing destination, either SMART, IBEFP or
ONE.
The spread matrix at the bottom of the window is populated with a list of all single stock
futures legs on the left, and the stock across the top.
4. Click a bid or ask price at the intersection of two legs to create the EFP spread.
5. To transmit the order, click the "T" in the Status field of the Orders panel.
Note: Please note that smart-routed EFPs are not guaranteed.
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Chapter3 FXTrader
FXTrader
Designed specifically for Forex traders, the customizable FXTrader window displays quote
pairs with the emphasis on the key price component.
The FXTrader Window 254
The FXTrader Trading Cell 255
Using the FXTrader 257
The FXTrader Window
FXTrader displays a 3x3 grid of "trading cells" designed to complement the way an FXTrader
operates, with the standard elements of our order management modules (Orders, Log,
Execution and Portfolio pages) provided at the top. The page is completely customizable,
allowing you to increase or decrease the number of cells in the grid, invert a quote, change
colors, and modify the way price and size is shown.
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Chapter3 The FXTrader Trading Cell
To configure the FX Trader, click the Configure icon in the toolbar or in any trading cell.
For details on the many levels of configuration you can set for the FXTrader, see the FX Trader
Configuration topic.
The FXTrader Trading Cell
The trading cell in FXTrader includes many helpful features, including color coding to
distinguish between upward and downward price and size movement; a cancel icon to cancel
all orders for the currency pair, quick access to the FX Trader configuration windows, quick-
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Chapter3 The FXTrader Trading Cell
click to view inverted quotes, a message line to describe order details, a book icon with mouse-
over information that displays when there is a price improvement opportunity for small orders,
optional display of position and P&L information, and access to right-click TWS features from
the Contract Label area.
To open the FX Trader
1. Click the FXTrader icon on the Trading toolbar.
2. FXTrader displays populated with the most common FX pairs.
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Chapter3 Using the FXTrader
Using the FXTrader
When you select a trading cell, that currency pair populates the Quote Panel at the top of the
window. You can create an order using the traditional TWS method of clicking the Bid or Ask
from the Quote Panel. You can also create an order from within the trading cell.
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Chapter3 The Integrated Stock Window
To create an order from the trading cell
1. Click the Bid to create an order to sell the base (and buy the quote). Click the Ask to cre-
ate an order to buy the base (and sell the quote).
The Integrated Stock Window
Trade, see charts, market data and deep data all from a single integrated window.
Quote Panel 258
Book Data Panel 260
ISW Buttons Panel 261
Order Entry Panel (OEP) 263
Auto Orders 264
ISW Order Entry Sub Panels 266
Quote Panel
The Quote Panel displays market data for the selected stock symbol. By default, the Quote
Panel uses the single-row view used to show all TWS ticker lines.
To hide the Quote panel, on the Viewmenu uncheck Quote Panel.
Use the Switch Viewicon in the top left corner of the panel to toggle between single-row
view and ticker view.
TWS Guide 258
Chapter3 Quote Panel
To add a symbol to the Quote Panel
1. Enter a symbol in the Underlying field and hit Enter.
2. Select a stock from the contract list.
TWS Guide 259
Chapter3 Book Data Panel
Book Data Panel
The Book Data Panel displays both Level I and Level II subscription and non-subscription
quotes on either side of a real-time, configurable chart. Click a button to add data from a market
center the book data panel.
To add data, click a market center button. Bidsare displayed to the left of the chart, asks to
the right.
See your own order highlighted in the depth by checking Show pending orders in the book
on the ISW Configuration Settings page.
TWS Guide 260
Chapter3 ISW Buttons Panel
When you click a bid/ask price from the Book Data components, the price data is reflected in
the Order Entry Panel order line, from which you transmit orders.
Modify the chart parameters using the Chart menu. Select Chart Parameters to change the
time period, bar intervals and other data options.
If you elect to display the Others button, click it to include Level I data from market centers
that dont offer Level II data, market centers to which you dont hold Level II subscriptions,
and subscribed exchanges whose buttons are not currently selected. Show or hide the Oth-
ers button from the Deep Book Buttons section of the Settings page.
The number of deep book data windows that you can display at one time (including
BookTrader, ISW and Market Depth) is equal to 1 for every 100 allowed lines of market data,
with a minimum of three and a maximum of 30. Market data allowance is based on com-
missions, available equity and other criteria. So a client with the minimumallowance of 100
lines of market data will be able to open 3 deep book windows. A client with an allowance of
500 lines of market data will be able to open 5 unique deep book windows . For details on
how market data allowances are calculated, see the Market Data and News overview page
on the IB website.
When subscription deep book data is at its window limit, additional windows will display
aggregated top level data, and the Deep Button panel will be hidden.
ISW Buttons Panel
The ISW includes three Button panels which you can hide or display using the Viewmenu. The
Left panel creates new order in the order line of the OEP, the Right panel provides single-click
TWS Guide 261
Chapter3 ISW Buttons Panel
access to other TWS order tools, and the lower panel is used to modify orders, both new and
working, in the order line. All buttons are configurableand can be armed for Instantaneous
Transmit by clicking the Armed checkbox and agreeing with the warning disclosure.
Note: Buttons names include an asterisk (*) when they are set to Instantaneously
Transmitthe order when clicked. To remove this attribute, de-select the
Armedcheckbox in the button panel.
TWS Guide 262
Chapter3 Order Entry Panel (OEP)
Order Entry Panel (OEP)
Enter orders by clicking a price level in the Level II panels then using the BUY or SELL buttons
to transmit. Use the Order Entry Panel to:
Create and submit basic orders;
Modify a working order;
Apply order attributes such as hidden, discretionary, OCA;
Create and submit advanced orders such as algo, scale, adjustable and bracket.
To create an order in ISW
1. Click a price level in one of the Level II components.
2. Edit the order parameters using the dropdown boxes and text entry fields below the order
line.
3. Click the BUY or SELL button to transmit the order.
To modify a working order
TWS Guide 263
Chapter3 Auto Orders
1. Select the order you want to modify using the dropdown list on the order line.
2. Modify order parameters using the dropdown lists and text entry fields or the bump But-
tons.
3. Click Rep to cancel and replace the current working order with the modified order.
Auto Orders
Use the Auto order in the Type field to have TWS select the order type based on the price
values you enter. This feature is a short-cut to save you the step of having to choose the order
type first and then define the price criteria.
TWS Guide 264
Chapter3 Auto Orders
By default, the (Auto) order appears in the Type field. Click to view the current list of supported
auto order types from which TWS will choose. The chosen order type will display in the order
description line. It is important to note the following:
Only the order types listed under the (Auto) entry are eligible to be selected as an Auto
order. All other order types must be selected manually from the Typedropdown list.
The Auto order appears in the Typefield only for NEW orders. Working orders will display
the actual order type in the Type field.
The Auto order type selection is made according to the rules as illustrated in the image below.
TWS Guide 265
Chapter3 ISW Order Entry Sub Panels
ISW Order Entry Sub Panels
Use the sub-panels to create advanced orders and apply order attributes. Use the Destination
list to select an algo exchange and define an algo order.
TWS Guide 266
Chapter3 ISW Order Entry Sub Panels
To use the sub-panels
1. Click the sub-panels dropdown to display the list of available attributes and advanced
order types.
Note that this menu is context-sensitive, so that only the order types that are valid for the order
parameters you have defined will be shown. For example, if your order type is Stop, the Scale
sub-panel will not be shown in the dropdown list for that order since the Scale attributes can
only be applied to Limit and Relative orders.
2. Check the order attributes you want to apply to open the sub-panel(s) for that order type.
3. Enter values for the selected order type.
To enter an algo order
1. From the DEST drop-down list, select an algo destination under the Algorithms section.
2. In the new algo-specific panel, enter algo parameters.
TWS Guide 267
Chapter3 Market Depth
See the TWS Users Guide topics for details on setting up algo orders:
IBAlgos
CSFB Algos
Jefferies Algos
Market Depth
View the alternative bids and offers away from the inside quote to help you better gauge market
liquidity. When using the Market Depth Trader for bonds, see the best bid and offer from away
platforms (using Total Price) along with the best bid and ask from the IB book.
Market Depth Trader 268
Market Depth Trader for Bonds 270
Market Depth Buttons Panel 271
Create an Order 272
Market Depth Trader
The aggregated Market Depth window displays the alternative bids and offers away from the
inside quote to allow you to better gauge market liquidity. Create an order by clicking a price
level in the Bid or Ask column. Transmit orders from the Orders panel.
Add or remove Level II data using the Deep Book Buttons. The Othersbuttons displays Level I
data from exchanges that dont offer deep data, for which you dont have market data
permissions, or for those to which you subscribe but havent selected.
TWS Guide 268
Chapter3 NOTES
NOTES
The number of deep book data windows that you can display at one time (including
BookTrader, ISW and Market Depth) is equal to 1 for every 100 allowed lines of market data,
with a minimum of three and a maximum of 60. Market data allowance is based on com-
missions, available equity and other criteria. So a client with the minimum allowance of 100
lines of market data will be able to open 3 deep book windows. A client with an allowance of
TWS Guide 269
Chapter3 Market Depth Trader for Bonds
500 lines of market data will be able to open 5 unique deep book windows . For details on
how market data allowances are calculated, see the Market Data and News overview page
on the IB website.
When subscription deep book data is at its window limit, additional windows will display
aggregated top level data, and the Deep Button panel will be hidden.
We cannot guarantee that every price quoted for a particular security/commodity will be dis-
played in the Market Depth window.
Cumulative sizerepresents the total contract size available at a particular price or better. In
the image above, the cumulative size available on the bid at $12.03 is 106.
Average Priceis the average execution price received when transacting the cumulative
contract size. You receive multiple executions as your order goes through the order book.
Executions will appear in the Trades panel.
Use the Market Depth Trader for bond trading to view the minimum trade size for net bond
prices and calculate net bond prices based on your desired size.
Market Depth Trader for Bonds
Use the Market Depth trader to see the minimum trade size for net bond prices and calculate net
bond prices based on your desired size.
TWS Guide 270
Chapter3 Market Depth Buttons Panel
To take advantage of the Minimum Trade Size data and Quantity calculator, you need to
configure bond pricing to use Net pricing mode. The Market Depth Trader shows the Minimum
Trade Size available for a given price level and side in the market data. It also displays a
Quantity field above the aggregated market depth data. Enter a quantity at which you would
like to see the net prices calculated. This information may help you to control execution costs by
showing the market data in net price terms at the size you would like to trade.
To open Market Depth Trader
From the Trading Tools menu, select Market Depth Trader.
Market Depth Buttons Panel
The buttons panel provides action buttons that allow you to:
Close Position- select an underlying in the quote panel, and click Close Positionto have
an opposite side closing order automatically created in the Orders panel. Transmit the order
or modify any order parameters and then transmit.
Reverse Position- create an opposite side order with sufficient quantity to reverse your pos-
ition from long to short or short to long.
View Account- opens the Account Information window.
You can set the buttons to transmit the order instantaneously by arming the button panel.
Buttons with instantaneous transmit on will display an asterisk in their title.
TWS Guide 271
Chapter3 Create an Order
To activate Instantaneous Transmit
1. Check the Armed checkbox on the top right corner of the Buttons panel.
2. Read and agree to the disclosure message.
The asterisk in the button title indicates that these action buttons will instantaneously transmit
an order when used.
Create an Order
Create orders from the Market Depth window by clicking the bid/ask at a specified price level.
Be sure to confirm the order size before transmitting a Market Depth order.
The order size is based on default settings associated with the contracts Preset. If the preset
uses the Use cumulative size for Market Depth, the order size equals the cumulative size on
that line x default order size. For example, if the default order size is 100 and you click the ISE
$12.03 price level (below), the order size will be 10,600. If you click the same price level at the
ARCA line, the order size will be 6,300. If the above box is not checked, the order size will be
the default order size. You can modify the order size before transmitting the order.
TWS Guide 272
Chapter3 Create an Order
To create an order from Market Depth
1. Click on a price level in the Bid column for a Sell order, in the Ask column for a Buy order.
2. The order displays in the Orders panel. Modify parameters if necessary and transmit by
clicking the T in the status column.
3. To transmit your order, click the "T" in the Status field of the order line.
TWS Guide 273
Chapter3 Merger Arbitrage Window
Merger Arbitrage Window
Use the Merger Arbitrage window to create a combination order for an anticipated merger
between two companies.
To create a Merger Arb combo
1. From the Trading Tools menu, select Merger Arbitrage.
2. Enter contract conversion information in the Contract Selection area.
3. In the Order Selectionarea, enter the desired profit as an absolute amount or a percent of
the last price of the stock of the company being acquired (the acquiree).
TWS Guide 274
Chapter3 Merger Arbitrage Window
Pink fields are required.
4. Click Create Order to create a combination order line on the trading screen. You can also
choose to manage your order from within one of our advanced algo trading tools, Accu-
mulate Distributeor the ScaleTrader.
TWS Guide 275
Chapter3 OptionTrader
The Scale market and order displayfeature scales the market data to display the price of the
combination per share of acquiree, and the order price will also be entered and displayed in
these units. This is checked by default. Note that if the calculated size of the acquiree is one,
this checkbox has no effect.
The combo order as entered above, and then opened in Accumulate/Distribute looks like this:
The remainder of the Accumulate Distributewindow allows you to specify detailed and
sophisticated order management criteria to help ensure that you receive the best price without
being noticed.
OptionTrader
This configurable standalone screen shows market data for the underlying, lets you set up
option chains based on the underlying, gives you access to your options orders, executions and
portfolio information, drives the data for the Model Navigatorand Options Analyticswindows,
and lets you create combination Spread orders.
Using the OptionTrader 277
TWS Guide 276
Chapter3 Using the OptionTrader
Loading Option Chains 278
Combo Orders in the OptionTrader 280
The Button Panel 281
OptionTrader Statistics 283
OptionTrader 285
Using the OptionTrader
OptionTrader is a robust trading tool that lets you view and trade options on an underlying.
Display option chains on the underlying based on the criteria you define, including strike, expiry
and exchange, and view the Greeks for each option. Use the Model Navigatorto modify the
values used to calculate option prices and the Greek risk dimensions. For real-time market risk
management, use the IB Risk NavigatorSM.
To open OptionTrader
From within Mosaic, use the New Window dropdown to select More Advanced Tools at the
bottom of the list, then OptionTrader.
From with Classic TWS, use the Trading Toolsmenu and select OptionTrader.
The OptionTraderopens for the selected underlying. The toolbar,statistics panel and buttons
panel can be hidden using the toggle buttons in the top right corner. Panels can also be
contracted/expanded using the down/up arrows. The different sections are identified in the
image below which corresponds to the following list:
1. The toolbar.
2. The Quote Panelwhich shows the underlying asset. You can create orders on the under-
lying by clicking the Bid (sell) or Ask from the Quote Panel.
3. Set of toggle buttons to hide/show the toolbar, button panel and statistics panel.
4. The Statisticspanel, which displays option-related statistical data.
TWS Guide 277
Chapter3 Loading Option Chains
5. The Buttons panel, which holds custom action buttons that you can use to initiate common
actions. Once you arm the panel, any button that you had defined for instantaneous trans-
mit in the button panel will be identified by an asterisk (*) next to the button name.
6. The Trading Panel which includes tabbed pages for orders, activity log, filled trades for
the day on that underlying, the Portfolio for the underlying, and the Combo tab that lets
you create a combination spread without leaving the OptionTrader.
7. Option chains for the underlying. Specify the strike(s), expiry(ies) and exchange(s).
For information on loading option chainsand configuring buttonsand panels, see the TWS
Users' Guide topics.
Loading Option Chains
Use OptionTrader to create and manage option chains. When you specify an underlying, chains
load automatically. Use the Strikes, Last Trading Days and Exchanges lists to modify criteria
and automatically load a new set of option chains.
TWS Guide 278
Chapter3 Loading Option Chains
Load option chains
Use Load My Chainsto load chains on any option on the underlying in which you hold a
position. Or, define the strike, last trading day and exchange criteria to view specific option
chains.
Use Strike, Last Trading Dayand Exchangebuttons to define the options to include in the
option chain.
If you select a single strike, last trading day or exchange, the button labels change to display the
information. If you have selected multiple strikes, last trading days or exchanges, hold your
mouse over the button to see the complete list of your selections.
To create an order, click the Bid or Ask price for a put or call on the desired option line.
You can add pages for other contracts by clicking the Add Tabicon on the toolbar. After you
click the Add Tabbutton, define an underlying by entering a symbol in the Underlying field on
the quote panel. Hit Enter, then select an instrument type and then a specific contract. The new
underlying will be reflected in the tab name.
TWS Guide 279
Chapter3 Combo Orders in the OptionTrader
Note: Option chain orders are displayed on the Orders page of the of the Trading panel.
Combo Orders in the OptionTrader
Use the Strategy Builder tab to define and submit complex multi-leg orders that use stock and
option legs, based on the current OptionTrader underlying.
To create a combo order
Select Strategy Builder from the Trading tabset.
Add legs by clicking the desired option in the Option Chains area.
Click on the right "Call" side to add calls. Click on the left "Put" side to add puts.
Click the Bid price to add a Sell leg; click the Ask price to add a Buy leg.
You can quickly modify the Action, Last Trading Day, Strike or Put/Call designation using the
drop-down arrow in the Combo window.
Use the optional feature buttons as needed:
TWS Guide 280
Chapter3 The Button Panel
Use "Add Stock" to add a stock leg.
Use "Make Delta Neutral" to add a stock leg with the delta quantity based on the system gen-
erated delta.
Use "Add to Quote Panel" to set up the quote line for transmission at a later time.
Use "Transmit" to submit the combo order using the order parameters shown.
To make the combo delta neutral
Click Make Delta Neutral at the top of the Strategy Builder window.
The stock leg is added at the bottom of the window, and the hedging quantity is generated
automatically using the system calculated delta. If you modify the delta the stock leg quantity
will change, and if you modify the stock leg quantity the delta value will update.
Modify the prices if needed. The Net Option Price is the limit price for the combo's option legs
only. The Stock Price is displayed separately.
Choose to Transmit the delta neutral combo, or add the combo line to the Quote Panel.
The Button Panel
Many of the trading tools provide a configurable Buttons panel that you can elect to hide or
display, and which lets you create new and edit buttons that perform the defined trading action
with a single click.
TWS Guide 281
Chapter3 The Button Panel
To configure the buttons panel
1. From within the current tool, click the configure wrench to open Global Configuration for
the tool.
2. Select Buttons in the left pane.
The existing buttons and their actions are displayed at the top of the page.
3. Click Newto create a new button/action, or select a button and click Editto modify an exist-
ing button.
4. Use the Button Appearance section to change the label, the text color and the background
color.
5. Select an action to associate with the button using the Select Action dropdown.
6. Fine-tune the action by entering data in the Customize Actionarea. For example, for the
action Increase price or size, you can specify the price or size field to which the button
applies, and set the interval by which to increase the field value.
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Chapter3 OptionTrader Statistics
Note: NOTE: If you check the instantaneous transmit feature, the button will display an
asterisk next to its name in the Buttons panel.
OptionTrader Statistics
An optional Statisticspanel displays option-related statistical data for contracts with a stock
underlying. You can elect to display the following statistics:
Field Description
Name
Bid Exch Identifies the exchange(s) that are posting the best bid price on the
options contract.
Model The option model price is calculated using the underlying price, the
interest rate, dividends and other data using the Model Navigator.
Ask Exch Identifies the exchange(s) posting the best ask price on the options
contract.
Historical Displays the 30-day historical volatility for an option. Right-click the field
Vol header to toggle between Daily or Annual,
Opt A prediction of how volatile an underlying will be in the future. The IB 30-
Implied day volatility is the at-market volatility estimated for a maturity thirty
Vol calendar days forward of the current trading day, and is based on option
TWS Guide 283
Chapter3 OptionTrader Statistics
prices from two consecutive expiration months.
Opt Charts the total number of options that were not closed.
Open
Interest
Opt The total number of contracts traded over a specified time period.
Volume
Vol Change in volatility from the previous day's close.
Change
Opt Change in option volume from the previous day's close.
Volume
Change
Put/Call Put option volume for the day divided by call option volume for the day.
Volume
Call/Put Call option volume for the day divided by put option volume for the day.
Volume
Put/Call Put option open interest for the day divided by call option open interest for
Open the day.
Interest
Call/Put Call option open interest for the day divided by put option open interest
Open for the day.
Interest
Open Change in open interest from the previous day's close.
Interest
Change
TWS Guide 284
Chapter3 OptionTrader
To display the OptionTrader Statistics panel
Click the "s" icons in the toggle panel located in the top right corner of the OptionTrader.
OptionTrader
Use the OptionTrader configuration page to define basic settings, order presets, hotkeys,
buttons and to control the visibility of column fields.
To define OptionTrader configuration settings
1. Click theConfigure wrench from any window.
2. Click OptionTrader in the left pane and then click Settings.
3. Use the right pane to set these parameters:
TWS Guide 285
Chapter3 Settings
Settings
Components
Display menu - Check to see the OptionTrader menu.
Display or hide toolbar - Check to see the Option Trader toolbar.
Display Quote panel- check to display the Quote Panel, which displays a single line of
market data for the asset. You can create an order from the Quote panel by click the bid or
ask price.
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Display user-configurable buttons - hide or display buttons you create using the Buttons
panel.
Display or hide Statistics- a configurable, optional panel that shows option-related data
and statistics.
Miscellaneous
Jump to order- automatically puts the cursor on the newly created order in the
Orderspanel.
Allow multiple untransmitted orders- if checked, you can create more than one order in
the Underlying panel. Otherwise, only one untransmitted order is allowed.
Show all orders - check to view all orders for the underlying.
Show option prices in volatility- check to view volatility instead of dollar prices.
Show last trading day headers- check to sort option chains using a single header for the
Last Trading Day followed by a list of strike prices. This helps save room in the option chain
Description column.
Link option chains to windows groups - If checked, the Mosaic Option Chains window
(not full OptionTrader) will be linked to the windows group allowing selected option chain
contracts to act as the source and change focus in all grouped windows.
Auto refresh chains after updating filters - If checked, option chains update immediately
when any filter criteria (strike, right etc) are changed. If unchecked, you must manually
update chains using the Load Chains button.
Order Ref - A user-defined reference name to help identify where the order originated.
Order Presets- OptionTrader-specific default order settings. The OptionTrader preset is
linked to the selected Order Ref. above. Create a preset for both Stock and Options with the
same title and link to the Order Ref by selecting it or by creating a new preset. These presets
will control the default order parameters for any stock and options orders created from the
OptionTrader. If you do not create a stock preset for the OptionTrader, the default stock pre-
set will be used for stock orders created in the OptionTrader.
Auto-Loading
OptionTrader automatically loads option chains based on the criteria you set in this area.
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Chapter3 The Order Ticket
Assume underlying is a SMART stock - Uses Smart instead of a specific exchange.
Quick stock entry - Check to auto load stock and bring up the exchange dialog imme-
diately when you enter an underlying.
Load the closest N strikes to the money - Choose a number to limit how many options
load in the chain.
Load the nearest N expiries- Only shows you those options with the N closest expiries.
Load specific months - Specify the exact months' options you want to see.
Auto-resize columns on load - When checked, data columns will resize appropriately to
accommodate revised data.
The Order Ticket
The Order Ticket is available as an alternative form of order entry for users who prefer to set all
order attributes from a single tabbed window.
Basic 288
Advanced Combo Routing 293
Adjustable Orders 296
Scale Orders via ScaleTrader 299
Pegged Orders 301
Volatility Trading 303
Conditional 307
Miscellaneous 309
Basic
The Basic tab includes the basic order and time in force information, all based on the contract
shown in the Quote Panel. The fields are context-sensitive, which means that only valid
selections will be active. For example, if you select TRAIL LIMIT as the order type, the Stop
Price, Trailing amount and Lmt Offset fields become active. In addition, selections you make on
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Chapter3 Basic
this page affect the composition of the tabset. For example, if you select a stop or trailing order
type, the Adjusttab becomes available; if you choose VOL as the order type, the Volatility tab is
displayed, etc.
For combo orders, the Basic tab also includes Advanced Combo Routing.
To remove tabs and view all fields on a single large page, select theComprehensiveview.
Field Description Notes
Action Choose Buy or Sell.
Quantity
Quantity The number of units in the order.
Display size Enter a display size to create an
Icebergorder.
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Chapter3 Basic
Min. Quantity Enter the minimum quantity that must For options routed
be available for the order to execute. through Smart.
Order Description
Order Type Select an order type. Valid order
types are determined by the
underlying, exchange and security
type selected.
Limit Price Enter the limit price if the order type
requires it.
Aux. Price For Stop and Stop limit orders, this is
the Stop election price.
For Options relative to stock orders,
this is the starting price.
For trailing stop orders, this is the
trailing amount.
Trailing The amount used along with the
amount market price to calculate the initial
stop price.
Percent For Relative orders, sets the offset
Offset amount based on a percentage of the
bid price for Buy orders or the Ask
price for sell orders.
Discretionary The amount off the limit price at Enter an amount to
Amount which the order is still eligible to create a Discretionary
execute. order.
Destination Specifies the order destination. To create CSFB or
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Chapter3 Basic
Jefferies algo, select
CSFBALGO or
JEFFALGO from this
list.
Field Description Notes
Time in Force The time period during which your Only valid Times in Force are
order will remain active. Choose displayed per order, based on
from the selections presented, the product, order type and
including: destination.
DAY (day order),
GTC (order remains active until
it is cancelled)
OPG (market or limit at the open
order)
IOC (immediate or cancel)
GTD (order remains working
until the date/time specified in the
End Time field below.)
DTC (day 'till cancelled, is
cancelled at the end of day like a
day order, but remains on your
trading screen deactivated to let
you resubmit easily).
Start Time Set the start time (and date) for the
order.
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Chapter3 Basic
End Time Set the end time and date for the Only valid for GTD times in
order. force.
Trading Hour Attributes
The next three settings allow you to specify the hours during which orders are eligible to
execute. By default, orders are set to trade during Regular Trading Hours only.
Note: Elections to trade outside regular trading hours may not be available for
particular products that are not listed on an exchange. IB customers are solely
responsible for ensuring that these parameter are valid for the product(s) involved.
Allow this order to Check this box if you want to allow You can also set this feature
be filled outside of orders to trigger or fill outside of from the TIF dropdown on an
regular trading regular hours. order line in the trading
hours. window.
Valid for US stocks listed on
major exchanges. Not
available for IOC, OPG (MOO
and LOO), FOK, MOC or LOC
orders.
Allow order to be Check to allow orders to participate Can be applied to orders set
routed and in the pre-open session from 4:00 - for Regular Trading Hours
executed during 9:30 am. only.
pre-open session.
Ignore opening Check to ignore the opening Can be applied to orders set
auction. auction which takes place at the for Regular Trading Hours
open. only.
This attribute cannot be used
if you have configured Smart
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Chapter3 Advanced Combo Routing
Routing to participate in Pre-
open Re-route.
VWAP Time Modify the VWAP cut-off time if VWAP orders are
desired by clicking the automatically routed and
Calendarselection tool. Otherwise, accepted immediately after
the Soonest cut-off time is used. being transmitted. VWAP
orders cannot be cancelled.
Advanced Combo Routing
Advanced combo routing (defined from the Basic tab of the Order Ticket) lets you control how
each leg of a complex combination order is handled. Define advanced combo routing for both
guaranteed and non-guaranteed combination orders routed to Smart. Selections displayed are
based on the combo composition and order type.
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Chapter3 Advanced Combo Routing
To use advanced combo routing
1. Create the Smart combination strategy.
2. From the combo line on the Quote Monitor, click the Bid or Ask price to create a (sell or
buy) order.
3. Right-click the order line and select Modify then select Order Ticket.
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Chapter3 Advanced Combo Routing Fields (available based
on selected Order Type):
Based on the combo composition and the Order Type, the Advanced Combo Routing
selections are displayed. You can monitor the progress of the combo order by holding your
mouse over the Status field of the order line.
Advanced Combo Routing Fields (available based on selected Order Type):
Field Name Description
Order Type Choose from the basic order types as well
as: Relative + Market, Limit + Market, Trail-
ing Relative + Market and Trailing Limit +
Market.
Select leg to fill first For orders that are being legged-in, the
chance exists that only the first leg of the
combo will fill and you will be left with one
unexecuted leg. Use this field to specify
which leg is submitted and potentially filled
first. Use the dropdown list to pick.
Maximum leg-in combo size: The order is submitted in pieces, or seg-
ments. This is the maximum size of each seg-
ment.
Do not start next leg-in if Specify whether or not the system should
previous leg-in did not finish: attempt to fill the next segment before the cur-
rent segment fills.
Convert second leg order to These settings allow you to specify when (if
market order if... ever) the second leg should be changed to a
market order to fill right away, in cases
where the first leg fills and the second leg
does not and ends up sitting as a non-mar-
ketable limit order at the exchange,
...or if the price backs off by... Provides a way to specify a stop-loss to fill
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Chapter3 Adjustable Orders
Field Name Description
the unexecuted leg of a combo by changing
the leg to a market order if the price backs off
by the specified amount.
Discretionary Amt In cases where one leg fills and the other
doesn't, the discretionary amount indicates
how much you are willing to pay to fill the
combo.
Adjustable Orders
Use the Adjust tab to define a one-time adjustment to a stop, stop limit, trailing stop or trailing
stop limit order. This tab will only become active one of those orders types is selected.
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Chapter3 Adjustable Orders
To remove tabs and view all fields on a single large page, select the Comprehensive view.
Field Description Notes
Adjust to When you select an The following example continues to unfold for
Order adjusted order type, each field.
Type the stop order you're You buy 100 shares of XYZ for $31.00/share,
adjusting will not and submit a sell stop order with a trigger price
trigger when the stop of $30.00. This means that if the price hits
price is hit. Instead, it
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Chapter3 Adjustable Orders
will be changed to this $30.00, TWS will send a sell market order to
order type, and use the exchange.
the other parameters Now let's modify this scenario. In addition to
below. the above Stop order, you decide to create an
Select one of the stop adjustable Stop Limitorder to help lock in a
order types. When profit if the stock price begins to rise. Now
your current stop price imagine the price starts going up. When it hits
is penetrated, it will the trigger price (see next field below) TWS
change to this order will cancel the Stop order and create a new
type and use the Stop Limit order with the characteristics you
instructions you set in set in the following fields.
the following fields.
Trigger This price will trigger Set the adjustable trigger price to $34.00
Price the adjusted order you
defined in the
Adjusted Order Type.
Adjusted When the trigger price Set the adjusted Stop Price to $33.50. When
Stop is hit, the adjusted the stock rises above the $34.00 trigger price
Price stop price is you set above, you original Stop order is
implemented for the cancelled and replaced with a Stop Limit order
new order. with a stop trigger price of $33.50.
Adjusted Used for Stop Limit Set the Stop Limit to $33.00 to ensure your
Stop and Trailing Stop Limit order will not execute below this price.
Limit orders. This value will
Price be the limit price of the
order if it is triggered
and submitted.
Adjusted Used for Trailing Stop If you had a trailing stop order with a trailing
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Chapter3 Scale Orders via ScaleTrader
Trailing and Trailing Stop Limit amount of $1.00, you could set the adjusted
Amount orders. This value will trailing amount to $.50. If the adjustment trigger
replace the original is hit, the trailing amount is modified.
trailing amount if the
adjusted order is
triggered.
Scale Orders via ScaleTrader
Scale orders are designed to help prevent larger sized trades from being subject to increasingly
deteriorating prices by scaling your order into smaller, incrementally priced components based
on user-specified price and size instructions. In addition to scaling your order, you can also
define a profit offsetamount which instructs TWS to automatically submit opposite-side profit
taking orders against the individual components of the original order.
Click Open ScaleTrader from the Scale tab to set all scale parameters.
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Chapter3 Scale Orders via ScaleTrader
Set time in force parameters for the Scale order. See the Basicpage for details.
See the ScaleTrader topic for details on creating a scale order.
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Chapter3 Pegged Orders
Pegged Orders
Select from the available fields to create an order. The fields are context-sensitive, which
means that only valid selections will be active. For example, if you are creating any kind of
TWS Guide 301
Chapter3 Pegged Orders
order other than a Pegged to Stock options order routed through BOX, this page will be inactive.
Field Description Notes
Stock Ref Enter a stock price. If you do not
Price enter a value,
the midpoint of
the NBBO at
the time of the
order is used.
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Chapter3 Volatility Trading
Underlying Define the lower portion of the stock
Range range outside of which your order will be
(Lower) cancelled.
Underlying Define the higher portion of the stock
Range range outside of which your order will be
(Higher) cancelled.
Delta Enter a value (which will be used as a
percent, ie. ".5" equal 50%) that will be
multiplied by the change in the underlying
stock price. The product is added to the
starting price to determine the option
price.
Volatility Trading
The VOL order type allows you to trade volatility, and provides ways to dynamically
manageyour options orders.
TWS Guide 303
Chapter3 Volatility Trading
To trade Volatility
1. From the Trading Tools menu, select Volatility Trader. The fields used to define and
dynamically manage volatility orders are on the new page.
2. Create market datalines. Note that Bid and Ask price fields display in volatility rather than
as a dollar amount. Market data for stock tickers will still display the bid and ask price.
3. Select Annualor Daily volatility using the Volatility Typedropdown list.
4. Create an order by clicking the Askvolatility for a Buy order, or the Bidvolatility for a Sell
order. The order type defaults to VOL.
Note: You can use the VOL order type for equity options, index options and
combination orders. Hold your cursor over the option's volatility to see the option
price, based on that volatility.
Please note the following requirements for transmitting a VOL combination order:
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Chapter3 Volatility Trading
Combo VOL orders must be Smart-routed.
All legs must be on the same underlying, and each leg must independently be eligible
to use the VOL order type. For example, a BuyWrite order could not be sent as a VOL
order since its stock leg would not allow this order type.
All VOL orders must be DAY orders.
You can elect to price a Smart-routed Index Option order using reverse futures
premium calculations by selecting a futures contract from the Reference Contractfield.
If you have changed the reference contract in the Model Navigator, VolatilityTrader will
used the new contract as the default reference contract.
5. To have the workstation calculate a limit price for the option or combination order based
on your volatility input, enter a value in the Order Volatilityfield. The value shown in the
Imp Vol field is calculated via the Model Navigator.
6. To transmit the order, click the "T" in the Transmitfield, or the Transmiticon on the
trading toolbar.
Field Description
Volatility If desired, enter a volatility to use in calculating a limit price for the
option. If blank, the calculation will use the volatility derived via Option
Analytics.
Volatility Select from Daily or Annual volatility.
Type
Hedge Select an order type. The application will send an order against the
Order Type executed option trade to maintain a delta neutral position. Use the
Hedge Aux. Price field to set a price for orders that require one. Note
that for index options, you will need to select a futures contract for use
in a hedge delta trade.
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Chapter3 Volatility Trading
Alternately, you can use the right-click menu to attach a Delta Hedge
order and set the hedging attributes from the new order line.
Please note that if you select Continuous Update, the system will use
the delta associated with the parent order, which is calculated from the
user-defined Implied Volatility specified at the time of the most recent
order modification or price update, instead of using the current delta of
the option based on market data at the time of trade.
For a Limit delta hedge order, a snapshot of the stock bid/ask price is
taken at the time the parent order fills, and the best available price is
used as the limit price (best ask for a buy and best bid for a sell).
Hedge Aux. Used in conjunction with the Hedge Order Type field. If you have
Price selected an order type that requires you to define a price, for example a
relative order, use this field to set the price.
Continuous Check this selection to continuously update the price of the order if the
Update price of the underlying instrument changes significantly.Note that you
can only check Continuous Update for three active orders at a
time.
You will be subject to cancellation fees for order modifications that are
made by the system when you have the Continuous Update mode
enabled.
Reference Elect to use the NBB (bid) when buying a call or selling a put; the NBO
Price Type (ask) when selling a call or buying a put; or the average of the best Bid
and Ask. This price is also used to compute the limit price sent to an
exchange (whether or not Continuous Update is selected), and for stock
range price monitoring.
Stock Price Undrl. Range (Low)- enter a low end acceptable stock price relative to
Monitoring the selected option order. If the price of the underlying instrument falls
BELOW the lower stock range price, the option order will be cancelled.
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Chapter3 Conditional
Merely touching the price does not cancel the order.
Undrl. Range (High)- enter a high end acceptable stock price relative
to the selected option order. If the price of the underlying instrument
rises ABOVE the upper stock range price, the option order will be
cancelled. Merely touching the watermark does not cancel the order.
Reference Used for smart-routed Index Option volatility orders. This field allows
Contract you to select the futures contract to use for calculating the implied
volatility. To activate this feature, use the Volatility and Analytics page
in Global Configuration and selectPrice index options relative to
futures contract.
For a more detailed description of Trailing Stop orders visit the Order Types information page.
Conditional
A conditional order is an order that will automatically be submitted or cancelled ONLY IF
specified criteria for one or more defined contracts are met. You can use stocks, options, futures
or security indexes to trigger a conditional order.
TWS Guide 307
Chapter3 Conditional
To create a conditional order
1. Select an order line.
2. From the right-click menu, select Modify and then select Condition.
3. From the Conditional tab on the order ticket click Add Condition.
4. Enter contract information for the contingent asset in the Conditional Order box.
5. Enter the trigger information for the contingent asset:
Select the trigger method.
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Chapter3 Miscellaneous
Select whether the price of the contingent asset should be less than or equal to (<=)
or greater than or equal to (>=) the trigger price.
Enter the trigger price.
If you select the double bid/ask trigger method, the greater than or equal to operator
(>=) will use the BID price and the less than or equal to operator (<=) will use the ASK
price.
6. Click OK. The condition appears in the Current Conditions list.
To set multiple conditions, use the Add Condition button and click AND or OR in the
Current Conditions area.
Field/Button Description
Add Condition Invokes the Conditional Order entry box.
Delete Deletes the selected condition.
Modify Opens the Conditional Order entry box for the
selected condition to allow you to make changes.
Allow Lets the selected condition activate the order if it is
condition to be satisfied outside of regular trading hours.
satisfied...
Action to take... If selected conditional order is satisfied, you can elect
to have the primary order submitted OR cancelled.
Miscellaneous
Use the Miscellaneous order fields to apply order attributes and set specific rules for OCA
groups.
All fields are not always visible. Only fields that apply to the current order will be shown.
TWS Guide 309
Chapter3 Miscellaneous
Note: OCA group names must be unique to ensure proper handling of OCA orders.
Once you use a name, you cannot use it again even after the order executes or is
canceled.
Note:
Field Description
Allocation Choose an account, model or portfolio strategy to receive allocation.
Order Ref An identifying number you create to track your order.
Trigger Select a new trigger methodfor the order.
Method
Trigger Check to allow the order to remain triggered until filled or cancelled. If
Once left unchecked order will deactivate at the end of the day and will not
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Chapter3 Miscellaneous
trigger unless trigger conditions are met. For simulated orders only.
ISE Midpoint Choose from Standard or SOI for an ISE MPM order.
Match
Routing Select a Smart routing strategy.
Strategy
Req Market Check to request market data for the order.
Data
Block Order Check to create a block order.
Sweep to Check to create a sweep-to-fill order.
Fill
Hidden Check to create a hidden order.
Auto-cancel For orders with a parent-child pair, check to have the parent order can-
parent celed when the child order is canceled.
All or None Check to create an All or None order.
Non- Checking this box indicates that you will take all the risk for partially-
Guaranteed executed Smart routed combination orders. Note:Only Smart-routed
US stock-option and option-option combinations are guaranteed.
Consider If checked, Smart routing will consider the total cost of executing the
Cost order, including commissions and other fees, when deciding where to
route the order. If unchecked, only the exchange price is considered.
For smart-routed European stocks.
Preserve Check to keep your order in the queue and prohibit from canceling
Time Priority and resubmitting orders intermittently. This feature is used on
exchanges that charge a handling fee for orders that remain on the
order book for a specified period of time.
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Chapter3 Miscellaneous
Hide When checked, hides the penny pricing of your options order.
Pennies
Post only If checked, when there is non-displayed liquidity at the same price
point, the order price is adjusted low (for a buy) or higher (for a sell) by
one penny to avoid taking that liquidity. If the order comes in at a price
higher (for a buy) or lower (for a sell) than an order already sitting on
the book, it becomes an IOC (immediate-or-cancel) order at the better
price.
Deactivate Check to deactivate the order, which cancels the order
Seek Price If checked, Smart routed orders sweep certain exchanges for hidden
Improvement liquidity at more favorable prices, then checks the dark pools as usual
before routing to an exchange. Note that activating this feature may
result in slower executions.
Imbalance Submits the order only to take the imbalance from an opening or
only closing auction.
OCA Group
Group Name If the order is part of a one-cancels-all order, enter the OCA name in
this field. All orders with the same name in the OCA field become part
of an OCA order. Once you use a name, you cannot use that name
again even after the order executes or is canceled.
Partially Set instructions on how to behave when order is partially filled. The
filled default is to have other orders in the OCA group proportionately
instructions reduced in size based on the quantity of the filled portion.
Overfill Dictates that only one order in the group will be routed to an exchange
Protection at a time. This completely removes the possibility of an overfill.
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Chapter3 Pre-Borrow Shares for Shorting
Pre-Borrow Shares for Shorting
If you plan on putting on a short sale, you can choose to pre-borrow shares to decrease your
chances of being bought in on settlement date.
About Pre-Borrows 313
Create a Pre-Borrow Order 314
Transactions and Positions 316
317
Pre-Borrow Returns 317
About Pre-Borrows
Eligibility
Pre-Borrow for Shorting is only available for Portfolio Margin customers.
To enable this program, you must log into Account Management and check Pre-Borrow Pro-
gram in the Trading Programs section of the Trading Permissions area.
The Pre-Borrow Market
Pre-borrow orders are accepted from 6:45 - 14:45 ET.
Generally the most active time for pre-borrows occurs between 9:00 and 11:00 a.m.
Rates and Fees
The indicative rate displays in the data line for the stock in the Lendfield. The actual rate to
borrow that stock (our standard borrow rate) is computed at the end of the day and will be
available on your activity statement.
Rates are subject to change based on availability of the underlying stock. Standard borrow
rates are computed each night and will be available on your activity statement.
You will pay additional borrow fees for any stock held in excess of your short position.
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Chapter3 Transaction Information
The borrow rate is applied to the collateral to calculate thedaily borrow fee.
The borrower is responsible for the daily borrow fee and for collateral on the transaction.
The collateral is equal to the settlement price x quantity. The settlement price is 102% x
mark price rounded up to the nearest 1.00 with a 1.00 minimum.
Collateral is returned to the borrower when the borrowed shares have been returned to the
lender.
In the case of dividend-paying shares, since shares are only being lent (not sold) by the
lender, dividends paid during the borrow belong to the lender who actually owns the shares.
The borrower of the shares must pay dividends to the lender in what is called Payment in
Lieu of Dividends.
Transaction Information
A pre-borrow is presumed to anticipate a short sale. If no short sale trade executes within
four days of the pre-borrow transaction, a non-purpose borrow results and the shares are
returned.
If the pre-borrow is not followed by a short sale and a previous short on the same underlying
exists, the pre-borrow will be applied to the existing short on the following day.
Only US and Canadian stocks are available to pre-borrow.
Orders are only eligible to fill during regular trading hours.
There is an order minimum of 10,000 USD for all pre-borrow transactions.
Only market orders are supported for pre-borrow orders.
Create a Pre-Borrow Order
You can initiate a pre-borrow order from US stock market data line or directly from within the
Stock/Borrow Loan window.
Before you can pre-borrow you will need to enroll in the program via the Trading Programs area
in Account Management.
TWS Guide 314
Chapter3 Short Sales on a Pre-Borrow
To create a pre-borrow order
Right-click the stock underlying you want to pre-borrow and select Trade then select Pre-
borrow shares for Shorting.
Select the contract/destination as xyz SBL@PREBORROW.
Answer "Yes" to the message offering to change the order type to MARKET. You will receive
this message for every pre-borrow order if you have the default order type set to any type other
than MARKET.
For the pre-borrow order you can only modify the quantity, which should correspond to the
anticipated short sale.
Transmit the order.
Short Sales on a Pre-Borrow
Once the pre-borrow order is contracted, the quantity available to short will be shown in the
Private Locate field.
Display the Private Locate field
Hold your mouse over any market data field until the "Insert Column" option appears. Click
"Insert Column" and select Stock Borrow/Loan and then Private Locate.
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Chapter3 Transactions and Positions
For details on using the pre-borrow feature, see the About Pre-Borrows topic.
Transactions and Positions
As with all TWS transactions, you can view executions in the Trades window, and monitor the
Borrow/Loan positions in your portfolio from the Account Information window.
To view transactions
1. From the toolbar, click the Trades icon.
2. All transactions are displayed in the Trades tab. The Description field identifies
Borrow/Loan transactions, and the borrow rate is shown in the Price field.
For pre-borrows, the rate shown is the indicative rate. The actual, standard borrow rate is
calculated at the end of the day and is shown on your account statement.
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Chapter3
To view Portfolio
1. On the toolbar, click the Account icon.
2. The Portfoliosection at the bottom of the page shows all positions including borrows.
The Market Price shows the borrow rate.
Borrow positions will also display on the system-generated Portfoliotrading page.
Pre-Borrow Returns
The Return/Recall panel displays any returns and recall requests (you must be logged in), and
allows you to send return requests.
Once you borrow shares, you can return them using the Return order function, or the lender can
recall the shares at any time. When borrowed shares are recalled, they are removed from your
TWS Guide 317
Chapter3 Pre-Borrow Returns
account, you are notified in the Return/Recall panel of TWS, and the recall will show up in the
Borrow Activity section of your Activity Statement.
Please note that if you have borrowed to cover a short position and then purchase the shares
and no longer need to maintain the borrow position, the borrowed shares are not automatically
returned; you must return the shares. Returns cannot be made the same day (you can return the
next day), and must be entered by 10:50 am.
To view the Return/Recall panel, click the Show Return/Recall Requests icon on the right-hand
tab of the trading page.
To return borrowed shares
1. Right-click the ticker and select Tradethen select Return Shares.
2. Confirm the order parameters and transmit the order by clicking the T in the Status field.
TWS Guide 318
Chapter3 Order Quantity Calculator
Order Quantity Calculator
Calculate the order size based on currency, deliverable value, percent of Net Liquidation or
percent change in position.
Determine Order Quantity 319
Calculate Order Quantity 320
Determine Order Quantity
When you create an order, you can define the order size several different ways. You can set a
general default order size hat is used for all orders. You can set specific default sizes for
instrument types, for example a quantity of 500 for all stock orders. You can even get more
specific and set the default order size for a specific contract, for example set the quantity for all
stock orders for underlying XYZ to 1000.
TWS Guide 319
Chapter3 Calculate Order Quantity
Alternatively, you can set a default currency amount that will be used to calculate the order size.
For example, set the default amount for stocks to $5000.00. The order quantity is then
calculated based on the stock price, and is rounded to the nearest 100 for U.S. stocks.
You can also have the workstation calculate the order quantity by Deliverable value amount, a
percent of your Net Liquidationvalue, or based on a percentage of your current position.
Calculate Order Quantity
Use the Quantity Typeand Quantity Value fields to calculate your order quantity based on:
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Chapter3 Calculate Order Quantity
Currency- assumes the base currency
DLV Amount - See Deliverable Value (DLV) Calculation for more information.
% of NLV - percent of Net Liquidation Value
% Change in Position - percent of the change for your position in the underlying.
For example, say you have a Net Liquidation Value of 40,000. XYZ shows a current ask price of
80.00. If you create a buy order for XYZ, select "% of NLV" as the Quantity Type and enter "20"
in the Quantity Value field, you're telling the application to calculate the number of shares you
could buy for 20% of $40,000 or $8000.00, based on the Ask price of $80.00. The calculated
Order Quantity value of "100" is then displayed in the Quantity field.
To display the Quantity Type and Quantity Value fields
1. Right-click on any column name in the Order Management section of the trading screen,
and click Customize Layout.
2. Click the Order Columns tab. In the Available Columns list in the Quantity section select
Quantity Typeand Quantity Valueand Add them to the Shown columns list.
To calculate order quantity by currency
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Chapter3 Calculate Order Quantity
1. Create an Order by clicking the bid or ask price.
2. In the Quantity Typefield, select the currency type. This field assumes the base currency.
3. In the Quantity Valuefield, enter a currency amount. For a buy order, enter the amount
you want to spend. For a sell order, enter the amount you want to make. Based on the cur-
rent bid/ask, your value gets rounded up or down.
The order quantity is calculated and displayed in the Quantity field.
To calculate order quantity by Deliverable Value (DLV Amount)
1. Create an Order by clicking the bid or ask price. See Deliverable Value (DLV) Cal-
culation for more information.
2. In the Quantity Typefield, select DLV Amount.
3. In the Quantity Valuefield, enter the dollar amount of your deliverable value you want to
use to calculate the order quantity.
The order quantity is calculated and displayed in the Quantity field.
To calculate order quantity as a % of your Net Liquidation Value (% NLV )
1. Create an Order by clicking the bid or ask price.
2. In the Quantity Typefield, select % NLVThe Net Liquidation value is the first value in the
upper left Balancearea of the Account window.
3. In the Quantity Valuefield, enter a percent value that will multiplied by your NLV to cal-
culate a dollar amount.
The order quantity is calculated and displayed in the Quantity field.
To calculate order quantity as a % of position change
1. Create an Order by clicking the bid or ask price.
2. In the Quantity Typefield, select % Change in Position.If you do not hold a position in the
selected underlying, you will not see this selection.
3. In the Quantity Valuefield, enter a percent value that will multiplied by your position to cal-
culate the order quantity.
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Chapter3 Rapid Order Entry
If your position is negative, you must enter a negative percent value to calculate a positive order
quantity.
The order quantity is displayed in the Quantity field.
Rapid Order Entry
Enter orders more quickly with defaults and quick-click fields.
Enter Orders using Rapid Order Entry 323
Update Multiple Orders 325
Create "Instantaneous Transmit" Hot Key 327
Enter Orders using Rapid Order Entry
The Rapid Order Entrypanel, which is visible by default at the top of each trading page, allows
you to quickly transmit an order without having to open an order ticket or click in a market data
line. You simply tab through the fields, enter your order parameters, and click Trade. You can
also enter the local or root underlying symbol, just as you can on the trading screen.
Note: Rapid order entry can be set for Stocks, Options, Stocks/Options, Stocks/Futures
and Combo orders.
To use the Rapid Order Entry panel
1. If the panel is hidden, from the Viewmenu select Rapid Order Entry.
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Chapter3 Enter Orders using Rapid Order Entry
The panel displays the instrument setting in the title, for example (Stocks). With this setting, you
can only create stock orders.
To change the instrument type
1. Right-click in the panel, and select Rapid Order Entry, then select the instrument type set-
ting. Select Stocks/Options or Stock/Futures to enter either asset type.
Once you have transmitted an order using Rapid Order Entry, the details of the order appear in
the Order Management panel of the trading page. Any modifications to your order must be made
on this order management line.
Using the Stock/Options or Stock/Futures Settings
You can choose to set the panel to Stocks/Options or Stock/Futures if you trade both asset
types.
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Chapter3 Update Multiple Orders
If you enter the Last Trading Day, Strike, and P/C fields, the Rapid Order Entry panel assumes
you're creating an option or futures order and the limit price defaults to the correct price. If you
leave these fields blank, it assumes a stock order and the limit price defaults to the stock price.
For the Option and Stock/Option layouts, you can set a default in Global Configuration to
populate with the nearest at-the-money option, but if you set this for the Stock/Options layout
you will always need to delete information to create a stock order since the Last Trading Day
and Strike fields will auto-populate.
Update Multiple Orders
Automatically update order type, limit price, time in force and more for a specific group of orders.
Automatically update the limit price to coincide with the ask, bid, midpoint, closing or last price.
Update multiple orders
1. On the Trade menu select Modify Multiple Orders.
2. Set update parameters:
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Chapter3 Which orders
Which orders
All selections apply only to orders on the active trading page. Specify whether to update
attributes for:
All orders on the page - Including working orders, non-transmitted orders, etc
Open orders only - This includes all orders working on the current page.
Selected orders - This includes all orders (working or not) on the active page that you
deliberately select.
Inactive orders - This includes all orders on the active page that are created but have not yet
been transmitted.
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Chapter3 Set Type and Time in Force
Set Type and Time in Force
For the subset of orders specified above, specify changes to the current order type and time in
force.
Check Convert Market to Limitto have all market orders automatically changed to limit orders.
Buy limit orders will use the Ask as the default limit price; sell limit orders will use the Bid as the
default limit price.
Set Price Parameters
Define the update price parameters for Buy orders and include an offset amount if desired.
Set the update price parameters for Sell orders. If you check Mirror image of buy orders,
parameters are set reversed from the Buy orders selections. The mirror images of Midpoint, Last
and Close would be the negative values for each of these prices.
Validation
If one or more of the orders marked for update cannot be updated, the Validationselection
checked here will be used.
Create "Instantaneous Transmit" Hot Key
You use hot keys to perform common trading functions, such as creating specific order types.
Once you have created an order, you must still select Transmitto send the order. You now have
the option to enhance the Buyand Sellhot keys by adding "instantaneous transmit"
functionality.
To add instantaneous transmit functionality to a hotkey
On the Edit menu, select Global Configuration and then select Hotkeys in the left pane.
1. In the Configured Shortcuts table, select the Buyor Sell action.
2. Click Configure, and open the Customize tab.
3. At the bottom of the page check Transmit the order instantaneously and click OK.
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Chapter3 Rebalance Your Portfolio
Note: To use this feature, you will be asked to sign an agreement stating that you
understand its implications. Under the terms of the Customer agreement, you are
responsible for all orders entered in your account. Consider carefully whether setting a
hot key to instantaneously transmit orders is the best for the way you trade.
Rebalance Your Portfolio
Use the Rebalancewindow to redistribute percentages of positions in your portfolio that make
up your current (signed) net liquidation value.
The Rebalance Window 329
Import and Export Positions to Rebalance 330
Rebalance for Advisors 334
TWS Guide 328
Chapter3 The Rebalance Window
The Rebalance Window
Use the Rebalance window to assign application automatically creates orders to rebalance
your portfolio based on target percentages you enter.
To rebalance your portfolio
1. From the Trading Tools menu, select Rebalance Portfolio.
2. The Rebalance Portfolio window shows three columns that are different from those on
your trading screen:
Deliverable Value- this is the deliverable value of the position. For stocks, this is the
value of the stock, which is the same as the Market Valuefor the position shown in the
Portfoliosection of the Accountwindow. For options, futures, and single stock futures
(SSFs) it is the underlying stock or index value.
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Chapter3 Import and Export Positions to Rebalance
Current %- this is the current signed percent of the position to your net liquidation
valueshown in the Balancesection of the Accountwindow. This figure is calculated
by dividing the DLV by the NLV (Net Liq. Value).
Rebalance %- use this field to enter a new percentage of the NLV that you want the
position to have.
3. In the Rebal % field for one or multiple positions, enter the percent of the Net Liquidation
Value that you want the position to have.
4. Click the Create Ordersbutton to instruct the application to automatically create the
orders to achieve the percent change.
5. Use the Transmit Allbutton to send all orders, or click "T" on an order line to transmit a
single order.
Note: For options, the rebalance % is based on the value of the underlying stock prices.
To open positions from the Rebalance window
1. Click Add Line from the buttons panel, and enter an underlying symbol into the blank row
and hit Enter. Define the contract.
2. Enter a value in the Rebal %column and click the Create Orders button.
3. Transmit the order.
Import and Export Positions to Rebalance
Customers who prefer to work in Excel can export the Rebalance file and modify the current
percentage to reflect the percent of net liquidation they want to their positions to have, then
import the modified file back into Rebalance Portfolio.
Advisors can also use this feature to import a modified file to a new account to easily bring this
account to the new percentages.
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Chapter3 Import and Export Positions to Rebalance
To export a portfolio
1. Click the Exporticon at the top of the Rebalance Portfolio window.
2. Modify the location and file name if desired (leaving the .csv extension), and click OK. You
may want to modify the generic file name to help identify it.
For example, you could change the default C:\jts\rebalance.csv to
C:\clients\smithPortfolio.csv.
3. Click OK from the file export confirmation message.
The directory path must exist for the Export functionality to work. You cannot create a new folder
while exporting.
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Chapter3 Import and Export Positions to Rebalance
To rebalance the positions percent of NLV from Excel
1. Open the exported .csv file in MS Excel.
Note that each line of the spreadsheet represents a position. The last column represents
the current percent of Net Liquidation Value that the position holds. This exported value is
equivalent to the value in the Current % field of the Rebalance Portfolio window.
2. Change the current % of NLV to the new percent you want. Do this for as many lines as
needed and click Save.
For example, if you want to rebalance your portfolio so that AAPL STK holds 5% of NLV instead
of 16.20478 as shown above in line 2, you would change 16.20478 to 5.0. This modified value
is imported in the Rebalance Portfolio as the new Rebal % value.
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Chapter3 Import and Export Positions to Rebalance
To import a rebalance portfolio
1. Click the Import icon at the top of the Rebalance Portfolio window.
2. Navigate to the modified .csv file you want to import and click Open. You will see the new
Rebal % values in the modified position lines.
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Chapter3 Rebalance for Advisors
To complete the rebalance, create and transmit the orders.
Rebalance for Advisors
Advisors can elect to have TWS automatically RebalanceALL accounts, a single subaccount,
or a user-defined Account Group,which includes a subset of accounts, by redistributing
percentages of positions in their subportfolio(s) that make up the current (signed) net liquidation
value. TWS opens and closes positions to rebalance the selected accounts' portfolio based on
the new percentages you enter. You can add contracts and create orders just as you would from
the main trading screen.
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Chapter3 Rebalance for Advisors
Rebalance a SubPortfolio
1. Open the Rebalance window by clicking the Rebalance icon on the trading toolbar.
2. In the Account dropdown, select: Allto rebalance All accounts; Masterto rebalance the
master account, an account number to rebalance that account, or an Account Group to
rebalance all accounts in the group.
3. The Rebalancewindow shows three columns that are different from those on your trading
screen:
Deliv Value- this is the deliverable value of the position, which is the same as the Mar-
ket Value for the position shown in the Portfoliosection of the Accountwindow.
Current %- this is the current signed percent of the position to your net liquidation
valueshown in the Balancesection of the Accountwindow. This figure is calculated
by dividing the DLV by the NLV (Net Liq. Value).
Rebal%- Percentages are entered in terms of deliverable value.
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Chapter3 SpreadTrader
Note: Please note that puts have a negative deliverable value since they deliver a
short position. Consequently, to increase your put position, you must enter a
negative deliverable value percentage.
4. In the Rebal %field, enter the new percent of the Net Liquidation Value that you want the
position to have.
If you have selected "All" in the Account dropdown, the rebalance percent for the
instrument will be applied to all of your sub accounts' portfolios.
5. Click the Create Ordersbutton to instruct the application to automatically create the
orders to achieve the percent change.
6. Use the Transmit Allbutton to send all orders, or click "Transmit" on an order line to trans-
mit a single order.
Note: For options, the rebalance% is based on the value of the underlying stock price.
Open positions from the Rebalance window
1. First, add a ticker line to the Rebalancewindow by selecting the market data line on your
trading screen, and then clicking the selection arrow attached to the Rebalance icon on
the trading toolbar. Click Add to Rebalance Window. Or, enter an underlying symbol into a
blank row on the Rebalancescreen as you would on the main trading window.
2. Enter a value in the Rebal %column and click the Create Orders button.
3. Transmit the order.
SpreadTrader
Easily create complex multi-leg futures and options spreads with SpreadTrader.
Create Futures Spreads with SpreadTrader 337
EFP Futures Spreads 339
Create Option Spreads in SpreadTrader 341
TWS Guide 336
Chapter3 Create Futures Spreads with SpreadTrader
Create Futures Spreads with SpreadTrader
Use the SpreadTrader to quickly create and trade calendar spreads for futures.
TWS Guide 337
Chapter3 Create Futures Spreads with SpreadTrader
Create a futures spread
1. Open SpreadTrader by right-clicking a contract on the trading screen and selecting
Toolsand then SpreadTrader.
2. Enter the underlying symbol and and then select Futures Spreads for xxx, then choose the
routing.
TWS Guide 338
Chapter3 EFP Futures Spreads
3. In the SpreadTraderleg matrix at the bottom of the screen, click a bid or ask price at the
intersection of two legs to create the calendar spread.
The SpreadTrader matrix automatically structures the spread to sell the nearby month and
buy the distant month.
4. Transmit the order from the Orders panel by clicking "T" in the Status field.
Background Colors in Quote Panel
The colors in the Description field of the Quotepanel show you how far out from the current
year the contract's maturity date is, at a glance. Industry-standard colors are defined below:
Number of Years Out Background Color
>1 White
2nd Red
3rd Green
4th Blue
5th Gold
6th Purple
7th Orange
8th Pink
9th Silver
10th Copper
EFP Futures Spreads
An EFP (Exchange for Physical) is a combination order to sell/buy stock and buy/sell an SSF
(single stock future).
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Chapter3 EFP Futures Spreads
To create an EFP in SpreadTrader
1. From the Trading Tools menu select SpreadTrader.
2. Enter a symbol in the underlying field and hit Enter.
3. Select EFPs for xxxand then select the routing destination, either SMART, IBEFP or
ONE.
TWS Guide 340
Chapter3 Create Option Spreads in SpreadTrader
The spread matrix at the bottom of the window is populated with a list of all single stock
futures legs on the left, and the stock across the top.
4. Click a bid or ask price at the intersection of two legs to create the EFP spread.
5. To transmit the order, click the "T" in the Status field of the Orders panel.
Note: Please note that smart-routed EFPs are not guaranteed.
Create Option Spreads in SpreadTrader
Use the option combo facility in SpreadTrader to create a matrix of variations on an option
strategy for a single underlying, from which you can create and transmit multiple combination
orders with two clicks of the mouse. The Option Wizard helps you to define exactly how you
want the combo lines displayed in the matrix by allowing you to assign either a column position,
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Chapter3 Create Option Spreads in SpreadTrader
row position or fixed value to each parameter. You can also use filters to help specify exactly
which contracts you want to display in the matrix.
To create an Options Spread Matrix
1. Open the SpreadTrader by clicking the SpreadTrader icon on the trading toolbar.
2. Enter an underlying symbol in the Underlyingfield and hit Enter.
3. With your mouse, select Options Combos for XXX, and then select an exchange/currency.
4. In the Option Spreads window, select a combination strategy. Once you do this, every
available spread for that underlying is displayed in the right panel.
The number of parameters shown under the Filter section; Some have two (such as a
conversion or Buy Write) while others, like the Butterfly, have 5 or more. You can use these
filters to limit the number of combinations that appear in the right panel.
5. Hit the Nextbutton at the bottom of the window to see the Configure Table
Variablesbox.
Each variable is represented by a section in the box, with Column Variable, Row
Variableor Fixed Valuechoices. A variable means that the combination parameter can
use multiple valid values. For example, for a Calendar spread there are two variables for
the right: put and call. If you select Call (which filters out the puts) it's no longer a variable,
it's a fixed value. In that case, you won't see P/C in the variables list.
6. For each variable, check a radio box to instruct it to display as a row or column, or be used
as a fixed value. Checking Rowwill create a row for every possible combination of row
variables. Checking Columnwill display a column for every possible combination of
column variables. Checking Fixed value will invoke another selection box where you
choose a single value for the parameter.
For example, our Calendar spread has five parameters: Frontmonth, Backmonth, P/C,
Duration, and Strike. We filter out all but two Frontmonths (20061020 and 20061117) and two
Backmonths (20061117 and 20070119) and all but six potentially valid strike prices, and leave
everything else as is. Since the only valid duration is one month, the Durationparameter is no
TWS Guide 342
Chapter3 Stock Borrow/Loan
longer considered a variable. That leaves two variables in the P/Ccategory (put and call) and
multiple strike variables.
Hit Nextto lay out our matrix using the four variables, and choose Column Variablefor the
Frontmonth and the Strike, and Row Variablefor the Backmonth and the right. When you
click Finish you'll see something like this, where the Back month and the rights comprise the
rows, and the Front month and Strikes comprise the columns.
What are you looking at?
Each row is divided into sections of market data for the column variables you picked, in this
case for the front month and strike. If you could scroll across in this picture, you'd see the first of
two Front months we picked (20061020) occurring in six blocks, once with each different strike
price. Then you'd see the second front month, again once with each different strike price.
You see all the rows that are available, since our variables included only two back months and
call/put. If you want to make any changes to the layout and combinations displayed, click the
Options Wizard button on the toolbar.
Note: If you receive a message saying you have too many combos to subscribe to
market data, and you don't go in and filter your results further, the prices will not update,
and the matrix title will read "...Snapshot" instead of "...Realtime."
Stock Borrow/Loan
Customers who have been approved for Portfolio Margin can use the Stock Borrow/Loan
feature to borrow and lend US stocks electronically.
TWS Guide 343
Chapter3 About Stock Borrow/Loan
About Stock Borrow/Loan 344
Access Stock Borrow/Loan 345
Borrow/Loan Fields 347
Borrow/Loan Transactions 351
Returns/Recalls/Rerates 355
Transactions and Positions 358
360
About Stock Borrow/Loan
Eligibility
Stock Borrow/Loan is available for Portfolio Margin customers.
To enable stock/borrow permissions, you must log into Account Management and from the
Manage Accountmenu select Trade Configurationand then Permissions. From the Trade
Permissions section, enable United States (Stock Lend Borrow) from the Stocks column.
The Borrow/Loan Market
The markets regular hours are from 6:45 - 15:00.
Most active time for borrow/lend occurs between 9:00 and 11:00 am.
Recalls and Rerates
As a borrower, if you request a rerate on the borrow, the lender has 25 minutes in which to
respond. If there is no response or if the rerate request is rejected, the transaction is closed
and borrowed shares are returned to the lender.
Rates and Fees
The borrow and lend rates display in the data line for the stock underlying in the Borrowand
Lendfields.
When you hover your mouse over the borrow rate, you see the Total rate, which is:
TWS Guide 344
Chapter3 Access Stock Borrow/Loan
Interest Rate - Borrow Rate
The interest rate is always the current opening Fed Funds Effective rate.
The borrow/lend rates change based on availability of underlying contract.
The borrow rate is applied to the collateral to calculate thedaily borrow fee.
The borrower is responsible for the daily borrow fee and for collateral on the transaction.
The collateral is equal to the settlement price x quantity. The settlement price is 102% x
mark price rounded up to the nearest 1.00 with a 1.00 minimum.
Collateral is returned to the borrower when the borrowed shares have been returned to the
lender.
In the case of dividend-paying shares, since shares are only being lent (not sold) by the
lender, dividends paid during the borrow belong to the lender who actually owns the shares.
The borrower of the shares must pay dividends to the lender in what is called Payment in
Lieu of Dividends.
Transaction Information
Orders are only eligible to fill during regular trading hours.
There is a price minimum of 200k for borrow transactions of easy-to-borrow shares. This min-
imum is in effect from the markets open at 6:45 am up until 11:00 am. Shares are con-
sidered easy-to-borrow if the borrow rate is less than or equal to 0.00.
To lend, you must own the shares outright, and they must be physically available and held
at the DTC. The quantity you have available to lend is shown in the Loanable Quantity
field. If your account has a margin balance, you may not be able to lend out all of the shares
in a position. IBs segregation algorithm determines which shares are available to lend.
Only day limit orders are supported.
Access Stock Borrow/Loan
The Stock Borrow/Loan page has been configured specifically to support all of the borrow/loan
fields and functionality.
TWS Guide 345
Chapter3 Access Stock Borrow/Loan
To open Stock Borrow/Loan
TWS Guide 346
Chapter3 Borrow/Loan Fields
From Mosaic: From the New Window drop down, select More Advanced Tools and then
select Stock Borrow/Loan.
From Classic TWS: From the Trading Tools menu, select Stock Borrow/Loan.
The Stock Borrow/Loan window opens as a blank trading page.
To add tickers
1. Enter a stock symbol in the Underlying field and hit enter.
Only agent lenders can lend or borrow in the primary (_P) markets.
In addition, you can manage borrow/loan transactions on a regular trading page by first entering
the underlying stock symbol and then selecting SBL as the instrument type. You will need to
manually add the relevant borrow/loan fields using the Layout manager.
Borrow/Loan Fields
The Stock Borrow/Loan window includes fields used specifically for stock loan and borrow
transactions. You can add any of these fields to other trading pages using the Layout manager.
TWS trading pages display both ticker lines and order lines. When you create an order, the
order line appears directly below its ticker line. Accordingly, the field labels are also laid out in a
top/bottom row format.
TWS Guide 347
Chapter3 Borrow/Loan Fields
Note: To make labels appear as a single large label like the Underlyingfield, you must
add the same field from both the Market Data and the Order Columns tabs.
To view the Stock Borrow/Loan and other fields that can be added to a trading window, right-
click anywhere within the field titles and select Customize Layout.The fields below are
displayed by default in the Stock Borrow/Loan page.
TWS Guide 348
Chapter3 Borrow/Loan Fields
Column Description
Underlying The underlying stock symbol of the stock being borrowed or lent.
Position Your current position. In the LoanBorrowTrader, this represents your
current stock position. This field is used for all asset types, it is not
unique to the borrow/loan page.
TWS Guide 349
Chapter3 Borrow/Loan Fields
Loanable Shows the current position in the stock that is eligible for lending.
Quantity
Avg Rate The average borrow rate of your current Borrow/Loan positions.
Auction The volume of shares being bid for at the Auction Borrow rate.
Borrow
Size
Auction This value represents the best rate quoted to lend the underlying
Borrow shares.
Click the Auction Borrow field to create a Lend order.
Auction This value represents the best rate quoted to borrow the underlying
Lend shares.
Click the Auction Lend field to create a Borrow order.
Auction The volume of shares available to borrow at the Auction Lend rate.
Lend Size
Auction The indicative rate for the next scheduled auction. Auctions occur
Price every 15 minutes while the Borrow/Loan market is open.
Borrow The volume of shares being bid for at the last auction rate during
Size continuous trading.
Borrow The last auction rate that was established during continuous trading.
Lend The last auction rate that was established during continuous trading.
Lend Size The volume of shares available to borrow at the last auction rate
during continuous trading.
Auction The total number of shares available for the next auction.
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Chapter3 Borrow/Loan Transactions
Volume
Previous The total number of shares that were available for the previous
Auction auction.
Volume
Borrow/Loan Transactions
You can borrow and lend shares directly from the data line.
To borrow, click the Lendor Auction Lend field.
To lend, click the Borrowor Auction Borrowfield.
Borrowing Shares
Borrow requests are eligible to fill in either the continuous or auction market, based on price.
If you initiate a borrow by clicking the Auction Lendfield, the limit price reflects the current
best Lend rate.
If you initiate a borrow by clicking the Lendfield, the limit price defaults to the last auction
price.
TWS Guide 351
Chapter3 Borrowing Shares
Note: You can modify the transaction type on the order line using the Borrow/Lend drop-
down in the Action field.
Continuous trading runs throughout the day, stopping for 5 minutes prior to each 1 minute
auction. If your transaction does not fill during continuous trading, it will be held and entered in
the next auction.
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Chapter3 The Borrow Rate and Interest Rate
The Borrow Rate and Interest Rate
The borrow rate differs by symbol based on how difficult a stock is to borrow. The harder a stock
is to borrow, the higher the borrow rate. The borrow rate includes the interest rate which is the
same for all symbols and is equal to the days opening Fed Funds rate. Shares are considered
easy-to-borrow if a reasonable assurance can be made at trade date that the shares will be
available for borrowing on settlement date. Oftentimes the borrow rate on such shares is equal
to or less than 0.00.
Note: There is a collateral minimum of 200k to borrow easy-to-borrow shares. This
minimum is in effect from the markets open at 6:45 am up until 11:00 am.
The collateral amount is the price per share of the underlying x quantity. The borrow rate is
applied to the collateral amount to calculate the daily IB Carry Chargethat the borrower will pay
for the privilege of borrowing the stock. The collateral represents the cash put up by the
borrower to cover the borrow transaction, and is the underlying stock price times the quantity of
the borrow transaction. The collateral is returned to the borrower when the shares are returned
to the lender.
The daily IB Carry Charge is:
Quantity x Stock Price x Borrow Fee/360
For example, if you are borrowing 500 shares of a $20.00 stock with a borrow fee of 0.38, the
daily IB Carry Charge on the transaction is:
500 x $20.00 x .0038/360 = 0.18
To see the total rate, which is the interest rate - borrow fee, hold your mouse over a rate field.
TWS Guide 353
Chapter3 Preview Orders
Preview Orders
Before you transmit the order, right-click and select Preview Order/Margin. The Order
Description box shows the order parameters, and displays the amount that will settle, calculated
as 102% * mark price, rounded up to the nearest $1, with a minimum of $1.
This preview is a current projection only and is subject to change.
Borrow Limits
You can borrow up to the amount you would be eligible to short based on the Net Liquidation
Value in your account.
TWS Guide 354
Chapter3 Lending Shares
Lending Shares
To lend shares, you must own the shares (they cannot be long on margin) and the DTC must be
holding them. The quantity of shares available to lend is shown in the Loanable Quantity field.
If you initiate a lend order by clicking the Auction Borrowfield, the value in your order
reflects the current best Borrow rate.
If you create a lend order by clicking the Borrowfield, the rate defaults to the auction equi-
librium rate.
You can manually modify the rate at which you want to lend directly in the order line.
Returns/Recalls/Rerates
The Return/Recall panel displays any return or recall requests when you are logged in, and
allows you to send rerate and return requests.
Borrowing
Once you borrow shares, you can return them using the Return order function, or the lender can
recall the shares at any time. When borrowed shares are recalled, they are removed from your
account, you are notified in the Return/Recall panel of TWS, and the recall will show up in the
Borrow Activity section of your Activity Statement. If you would like to negotiate a better rate on
your borrowed shares, you can initiate a Rerate request order. If the rerate request is rejected,
your shares are immediately returned to the lender.
Please note that if you have borrowed to cover a short position, and then purchase the shares
and no longer need to maintain the borrow position, the borrowed shares are not automatically
returned; you must return the shares.
Lending
As a lender of shares, you can recall your shares at any time except on the same day that you
lent them, using the Recall order function.
The borrow may want to negotiate the borrow rate by submitting a rerate request. You will be
notified of a rerate request only if you are logged into TWS. If you receive a rerate request, you
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must respond within 25 minutes; if you do not, the request is automatically rejected and all
shares are returned to you. This time limit applies regardless of whether or not you are logged
into TWS.
The borrower may return the shares to you at any time. You will be notified of a customer return
in the Return/Recall panel.
In the case where you have lent a quantity of your fully-paid shares and subsequently sell the
shares, IB will automatically recall the shares the following day. If IBdoes not receive the shares
from the borrower in time for settlement of the stock sale, the stock sale will be completed but
the loan will remain open until the shares are returned.
Rerate and recall requests from the counter party to whom IBhas lent your shares will display in
the Return/Recall panel.
To view the Return/Recall panel, click the Show Return/Recall Requests icon on the right-
hand tab of the trading page.
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To return borrowed shares
1. Right-click the ticker and select Tradethen select Return Shares.
2. Confirm the order parameters and transmit the order by clicking the T in the Status field.
To request a rerate on borrowed shares
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1. Right-click the ticker and select Tradethen select Rerate.
2. Enter the rate you would like to receive in the Lmt Price field.
3. Transmit the order by clicking the "T" in the Status field.
If your rerate request is rejected, the transaction automatically becomes a return and your
borrow position is reduced by the size of the request.
Transactions and Positions
As with all TWS transactions, you can view executions in the Trades window, and monitor the
Borrow/Loan positions in your portfolio from the Account Information window.
To view transactions
1. From the toolbar, click the Trades icon.
2. All transactions are displayed in the Trades tab. The Description field identifies
Borrow/Loan transactions, and the borrow rate is shown in the Price field.
For pre-borrows, the rate shown is the indicative rate. The actual, standard borrow rate is
calculated at the end of the day and is shown on your account statement.
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To view Portfolio
1. On the toolbar, click the Account icon.
2. The Portfoliosection at the bottom of the page shows all positions including borrows.
The Market Price shows the borrow rate.
Borrow positions will also display on the system-generated Portfoliotrading page.
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Chapter3
TWS Blotter
The Blotter integrates seamlessly with TWS to provide a more robust OMS system.
Using the TWS Blotter 360
Understand the Blotter Interface 361
Manual Ticket Entry 363
Advisor Allocations 366
Receive Electronic Tickets 367
Use Color Grouping to Link Blotter Windows 370
Using the Tickets Panel 371
Using The Orders Panel 373
What is an Away Destination? 376
Manage Orders with TWS Algos and Tools 379
Reading the Trades Panel 380
Display Orders by Filter Criteria 380
Order Sharing Modes 382
Configure the Blotter Panels 384
Using the TWS Blotter
The Blotter is part of our suite of specialized order management tools, and is the foundation of
the IB OMS. Log into TWS to access the Blotter and other OMS functionality.
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Chapter3 Understand the Blotter Interface
To open the Blotter
1. Log in to TWS.
From the Tradingmenu, select Blotter.
Or, click the Blotter icon on the trading toolbar.
Understand the Blotter Interface
Traders use the Blotter window to receive and create tickets, and to create and manage orders.
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Chapter3 Understand the Blotter Interface
The Blotter comprises these main sections:
The Manual Ticket Entry/Rapid Ticket Entry panel, used to manually create new tickets.
The Ticketspanel which displays manually created and electronic tickets, and the ongoing
order status.
The Orders panel, used to modify and submit client orders.
The Trades panel, which displays summary and drill-down execution reports.
Electronic tickets via FIX are accepted via a pop-up notification box, and other tickets can be
entered manually by the trader using the Manual Ticket Entrypanel. Once an order is
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Chapter3 Manual Ticket Entry
accepted or added, you can manage all aspects of your clients orders from this single Blotter
window.
Manual Ticket Entry
You can enter manual tickets from the Blotter by typing an underlying or contract symbol in the
Underlying field of the Manual Ticket Entry panel. You can also enable ticket entry from other
TWS windows, or add tickets to the Manual Ticket Entry panel from the right-click menu on a
market data line.
To enter a manual ticket from the Blotter
1. Enter the underlying symbol in the Contractfield, and hit Enter.
2. Use the Contract Selection list and Contract Selection box to define the contract.
3. In the Accountfield, select the beneficial account for the order. Select the Action (BUY or
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Chapter3 Manual Ticket Entry
Quantityand the order Type (Limit or Market for the parent order).
4. Click Addto put the order into the Tickets panel.
If you know the contract symbol you can enter a ticket quickly using symbol shorthand.
To enter a ticket using symbol entry
In the Underlyingfield, enter the contract symbol and routing choice as: symbol#routing
You can also instruct TWS to create blotter tickets for orders you initiate on other TWS
windows.
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Chapter3 Manual Ticket Entry
To enable ticket entry from other TWS windows
1. From the Editmenu select Global Configuration.
2. In the left pane, select Orders.
3. In the right pane, check Create ticket for all orders.
Checking this feature tells TWSto send all of your orders to the Blotter for order management,
regardless of the window from which the order originated.
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To create a manual ticket entry from the right-click menu in another window
1. Select the market data line for which you want to create a ticket.
2. From the right-click menu, select Trading Toolsand then select Blotter.
The Manual Ticket Entry panel of the Blotter now displays the contract.
Advisor Allocations
An allocation method can be defined during manual ticket entry, and this designation is retained
with the order and applied when the order fills.
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Chapter3 Receive Electronic Tickets
To allocate shares
1. From the Manual Ticket Entry panel, create a ticket.
2. In the Allocation field, use the drop-down picklist to choose an allocation group, profile, or
a single account.
As the order is processed, the assigned allocation remains and is applied when the order fills.
Receive Electronic Tickets
You are notified of incoming FIX tickets by a pop-up order notification window.
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Chapter3 Receive Electronic Tickets
Click Acceptfor a single order to put a single ticket into the Ticketspanel.
Click Accept Allto put all tickets into the Tickets panel.
Click Reject to cancel a single ticket.
Click Reject All to cancel all tickets.
If you are not logged in when a ticket is received, it is sent to the next available trader.
You can assign sounds to specific events to help you recognize receipt of an electronic ticket,
modification request of a electronic ticket, and a cancel request for an electronic ticket.
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Chapter3 Receive Electronic Tickets
To assign sounds to events
1. On the Configuremenu select Global Configuration.
2. In the left pane select Sound Manager, and in the right panel check the events to which
you want to assign a notification sound.
3. Use the down arrow to display and select from available system sounds. Use the Browse
button to find a sound file to apply.
Click the Play arrow to hear the sound you have chosen.
4. In the Repeat Count field, modify the default setting if you want to notification to play more
than once.
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Chapter3 Use Color Grouping to Link Blotter Windows
Use Color Grouping to Link Blotter Windows
Creating a windows group that includes the Blotter provides a shortcut for creating manual
tickets. For example, assume you want to create an options order on IBM. Without grouping,
youd need to create the line in the Manual Ticket Entry of the Blotter, then enter IBM into the
OptionTrader to get the option chains. With the windows, grouped, as soon as you enter IBM in
the Blotter, the OptionTrader receives this entry and is populated with IBM chains automatically.
Assign windows to a "group" to link order and ticker actions. You assign a window to a group
using the colored blocks on the top right of the title bar. All windows with the same color are part
of the same group. When you change focus on one of the group's "Source" windows, all
destination windows in the group reflect the change.
Any window that can be part of a group will display the blocks. A window can be part of one
group at a time. When you close the window, its group affiliation is erased.
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The window's designation is displayed in a mouse-over tooltip when you hover over the Group
icon. A window can be a:
Source - this is a controlling window and can only SEND instructions.The Blotter window is a
source-only window.
Destination - this is a receiving window, and can only RECEIVE instructions from a window
with Source privileges.
Source/Destination - this is a multi-tasking window which can both SEND instructions to and
RECEIVE instructions from other windows in the group. The OptionTrader window is both a
Source and Destination window.
Create a Blotter group
1. From the top corner of the Blotterwindow, display the Group dropdown and select a
group.
2. Open a window you want to group, for example the OptionTrader, and select the same
group number/color.
The OptionTrader and Blotter windows are now grouped. Open the windows side-by-side. In
the Blotter, enter an underlying in the Manual Ticket Entry panel, and see how the OptionTrader
data automatically changes to reflect the Blotter entry.
Using the Tickets Panel
Accepted electronic orders are staged in the Ticketspanel. Only limit and market orders can be
accepted.
You create orders from the ticket lines in the Tickets panel.
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Chapter3 Using the Tickets Panel
To create an order from a ticket
1. Right-click a ticket and select Create Order, or
2. Click the Action (Buy or Sell) on the ticket line.
You can open other TWS trading tools from the ticket and modify order parameters within the
other tool.
Manage Orders
Orders are created from the Ticketspanel and display in the Orderspanel for modification and
transmission. These orders are "child orders" of the original ticket, and must stay within any
price, type or Time in Force limitations defined in the parent order.
Cancel the entire ticket.
Cancel all child orders associated with the ticket WITHOUT cancelling the ticket.
Monitor the order status for each ticket.
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Chapter3 Using The Orders Panel
Orders are displayed in the Orderspanel (see below) with a default Quantity. You can modify
the quantity per order, and change the default for specific products using the Order Preset
Strategies in Global Configuration.
To cancel a ticket
Right-click the ticket line and select Cancel this ticket,or
Click the yellow C in the Cancelfield and then click Cancel this ticket.
Canceling from the Tickets panel cancels the entire client order and any working components.
Clients receive a cancelled order notice. To cancel a single child component of the order,
cancel directly from the child order in the Orderspanel.
To cancel all child orders
Right-click the ticket line and select Cancel open orders for this ticket.
The child orders are canceled but the original order ticket is not canceled.
Using The Orders Panel
The Orders panel is where you actively manage orders.
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Chapter3 Using The Orders Panel
Note: The relationship between parent/child orders is shown via the Keyfield in the
Tickets, Orders and Trades panels . Every new child order is numbered sequentially and
colored to indicate its relationship to the original order.
You can modify the following parameters for a child order:
Order Quantity,which can be modified to be equal toor less thanthe quantity in the
Leaves status field for the order in the Tickets panel.
Limit Price (with restrictions) - you cannot adjust the price to be more aggressive than the cli-
ents original price, i.e. you cannot increase the price for a buy order, or decrease the price
for a sell order.
Order Type (with restrictions) including:
Limit tickets can only be sent as a limit or relative orders.
Market orders can be submitted as: market, limit, stop, stop limit, trailing stop, trailing stop
limit and volatility. For more information on IB order types, see the Order Types page on the
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Chapter3 Using The Orders Panel
web site.
Time in Force - use the drop-down menu to choose from Day, GTC, OPG, IOC or GTD.
You must set the TIF for a child order equal to or shorter than that of the parent. Otherwise, the
TIF of the parent order will override that of the child order.
Destination- choose a new routing destination for the order, create a new Away des-
tination, or route to another desk within your firm.
To transmit an order
1. Modify order parameters by clicking in the appropriate field and selecting or entering a
new value.
Use the price or size wand to set a parameter by clicking and holding the mouse button
in a field.
2. Click the T in the red Status field to transmit the order.
To cancel an order
Transmitted child orders show a C in the yellow Status field. Click to cancel the order.
Note: To create a new order, right-click the original ticket in the Tickets panel.
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Chapter3 What is an Away Destination?
What is an Away Destination?
For order management purposes, the Blotter allows you to manually create Away destinations
and to manually report trades executed away from IB. This data will be reflected in the order
status fields and the Trade reports.
To create an Away destination
1. From an order in the Orders panel, click the Destinationfield dropdown.
2. Choose Add/Edit destination at the bottom of the list.
3. In the Away Destinations box, enter the title that will display in the Destination list, and the
Exchange/Destination to which the order will be sent.
4. Click OK. The new destination now appears in the dropdown list and is the selected des-
tination for the current order.
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Chapter3 What is an Away Destination?
The order quantity transmitted to your away exchange is reflected in the order status columns of
the Tickets panel. In the example above, a quantity of 12 was routed to the best ex away
exchange. The status reflects 12 routed, 25 still left, and 12 working.
It is important to note that orders transmitted to your away destinations are not handled by IB.
An away destination is simply an order-management tool that allows a place-holder within the
Blotter for orders you will manage away from IB.
Add Away Trade Data to Blotter
To help manage your orders, the Blotter allows you to manually include trade data from orders
filled away from IB.
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Chapter3 What is an Away Destination?
To report away trades
1. Highlight the Awaytrade order line in the Orderspanel. Note that you will only see the
Report Trade command if you are on an Away trade order line.
2. From the right-click menu, select Report Trade.
3. In the Report Tradebox, enter the quantity, price, destination, exchange and time of exe-
cution. This information will be used by the Blotter to display trade data.
4. Click Accept. The information you specified is now incorporated into both the Order
Statusdata in the Ticketspanel and the execution data in the Trades panel.
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Chapter3 Manage Orders with TWS Algos and Tools
Manage Orders with TWS Algos and Tools
Manage client orders using sophisticated TWStrading tools and algos. The IB OMS supports
order management using the following tools and algos:
Accumulate Distribute (for stocks)
ScaleTrader (for stocks and options; market orders only; no support for profit taking child
orders)
IB Stock algos including Arrival Price, Percentage of Volume Strategy, TWAPand VWAP
IB Option algos including Balance Impact and Risk, and Minimize Impact
BookTrader
Market Depth
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Chapter3 Reading the Trades Panel
ChartTrader
The Integrated Stock Window (ISW)
The Order Ticket
To manage a Blotter ticket from a different tool
1. Select the ticket and use the right-click menu to select Trading Tools.
2. Choose the trading tool. The tool will open, populated with the selected ticket information.
Reading the Trades Panel
Filled sub orders are removed from the Orders panel, and the parent order is removed from the
Tickets panel once the entire order has filled. The Tradespanel displays real time trade reports
with a drill-down feature to view a breakdown of executions at each price level.
Use the Filter panel to view only those orders that meet the filter criteria.
Check Show filled and canceled ordersto display these orders.
Display Orders by Filter Criteria
Although associated orders are visually linked by color and number Key, as shown in the
picture below, you may want to have only a single order family on the screen, or you may need
to view a specific subset of orders based on other criteria, for example all orders for Client A, or
all orders on underlying ABC. The Blotter provides two filtering strategies:
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Chapter3 Display Orders by Filter Criteria
To filter out all orders except for one order family, the Keyfield for the relevant child order in
the Orderspanel. Click the child key again to clear the filter and show all order families.
To filter out all orders except those that meet other criteria, use the Filterpanel to specify dis-
play criteria.
Find the Filterpanel at the bottom of the Blotter window. Use these fields to filter by criteria
other than a group of associated orders (the Key). Filtering criteria applies across order
information in all panels, including the Tickets, Ordersand Trades panels.
To use the filter panel
1. Enter the filter criteria, such as a client name, underlying symbol or action, and hit Enter.
2. To remove the filter and see all orders, click Clear Filter.
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Chapter3 Order Sharing Modes
Order Sharing Modes
Depending on the sharing properties defined for your trading group, you may have permission
to view and manage orders received by other traders as well as manage your own orders. You
may be enabled for one of three possible modes:
Full sharing - this mode displays all orders for all traders in the Orders panel of your blotter.
Display the Submitter field to see who last touched each order.
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Chapter3 Order Sharing Modes
To display the Submitter field
1. In the Orderspanel, right-click in the column headings and select Customize Layout.
2. Click the Order Columnstab, and in the Available Columnslist expand the
Statuscategory.
3. Select Submitterand use the Add + button to move the field to the Shown Columnslist.
Note: Use the Up and Down arrows to position the location of the field relative to the other
order fields.
Login sharing - this mode requires you to log in to another users Blotter before you can
access their orders. A separate tab is created for each login, and that users orders are
displayed only on their tab.
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Chapter3 Configure the Blotter Panels
No sharing - this mode only allows you to view and manage the orders you accepted or
created.
To log into another users Blotter
1. Right-click the My Blotter tab.
2. Select Open Blotter for Another User, and enter the users IB username.
Click OK. The other users interface opens under a new tab in your Blotter window.
Configure the Blotter Panels
You can hide or display columns in the Blotter panels using the panel-specific layout manager
in Global Configuration.
To show or hide Blotter columns
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Chapter3 Configure the Blotter Panels
1. From the top left of any panel, click the Configure wrench icon.
2. In the right pane, select the tab for the columns you want to modify. You can choose Mar-
ket Data Columnsor Order Columns.
3. Field in the Shown Columnslist are visible on your trading panel. To display other fields
on your trading panel, select from the Availablelist and add to the Shownlist.
4. To remove columns from the trading panel, select fields from the Shownlist and remove to
the Available list.
Boldedtitles indicate columns that cannot be removed from the panel display.
You can change the order in which the fields are presented on a panel using the vertical up and
down arrows in the Shown Columnslist. In the picture below, Ive moved the Keyfield to the
right on my Tickets panel so that it displays next to the Total Quantity field.
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Chapter3 Configure the Blotter Panels
To change the column order
1. In the Shown Columns list, click on the field that you want to move.
2. Click the arrows to move the column:
Moving the field UP in the list moves it to the left on the screen.
Moving the field DOWN in the list moves it to the right on the screen.
Panels that use the double-row layout can also be moved directly from the screen by dragging
and dropping a column to a new location.
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Chapter3 Trade Volatility
Trade Volatility
Trade volatility with our volatility tools and algos.
Volatility Trading 387
Attach a Delta Hedge Order 391
Volatility Trading 392
Volatility Trading
The VOL order type allows you to trade volatility, and provides ways to dynamically
manageyour options orders.
To trade Volatility
1. From the Trading Tools menu, select Volatility Trader. The fields used to define and
dynamically manage volatility orders are on the new page.
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Chapter3 Volatility Trading
2. Create market datalines. Note that Bid and Ask price fields display in volatility rather than
as a dollar amount. Market data for stock tickers will still display the bid and ask price.
3. Select Annualor Daily volatility using the Volatility Typedropdown list.
4. Create an order by clicking the Askvolatility for a Buy order, or the Bidvolatility for a Sell
order. The order type defaults to VOL.
Note: You can use the VOL order type for equity options, index options and
combination orders. Hold your cursor over the option's volatility to see the option
price, based on that volatility.
Please note the following requirements for transmitting a VOL combination order:
Combo VOL orders must be Smart-routed.
All legs must be on the same underlying, and each leg must independently be eligible
to use the VOL order type. For example, a BuyWrite order could not be sent as a VOL
order since its stock leg would not allow this order type.
All VOL orders must be DAY orders.
You can elect to price a Smart-routed Index Option order using reverse futures
premium calculations by selecting a futures contract from the Reference Contractfield.
If you have changed the reference contract in the Model Navigator, VolatilityTrader will
used the new contract as the default reference contract.
5. To have the workstation calculate a limit price for the option or combination order based
on your volatility input, enter a value in the Order Volatilityfield. The value shown in the
Imp Vol field is calculated via the Model Navigator.
6. To transmit the order, click the "T" in the Transmitfield, or the Transmiticon on the
trading toolbar.
Field Description
Volatility If desired, enter a volatility to use in calculating a limit price for the
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Chapter3 Volatility Trading
Option Analytics.
Volatility Select from Daily or Annual volatility.
Type
Hedge Select an order type. The application will send an order against the
Order Type executed option trade to maintain a delta neutral position. Use the
Hedge Aux. Price field to set a price for orders that require one. Note
that for index options, you will need to select a futures contract for use
in a hedge delta trade.
Alternately, you can use the right-click menu to attach a Delta Hedge
order and set the hedging attributes from the new order line.
Please note that if you select Continuous Update, the system will use
the delta associated with the parent order, which is calculated from the
user-defined Implied Volatility specified at the time of the most recent
order modification or price update, instead of using the current delta of
the option based on market data at the time of trade.
For a Limit delta hedge order, a snapshot of the stock bid/ask price is
taken at the time the parent order fills, and the best available price is
used as the limit price (best ask for a buy and best bid for a sell).
Hedge Aux. Used in conjunction with the Hedge Order Type field. If you have
Price selected an order type that requires you to define a price, for example a
relative order, use this field to set the price.
Continuous Check this selection to continuously update the price of the order if the
Update price of the underlying instrument changes significantly.Note that you
can only check Continuous Update for three active orders at a
time.
You will be subject to cancellation fees for order modifications that are
made by the system when you have the Continuous Update mode
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Chapter3 Volatility Trading
enabled.
Reference Elect to use the NBB (bid) when buying a call or selling a put; the NBO
Price Type (ask) when selling a call or buying a put; or the average of the best Bid
and Ask. This price is also used to compute the limit price sent to an
exchange (whether or not Continuous Update is selected), and for stock
range price monitoring.
Stock Price Undrl. Range (Low)- enter a low end acceptable stock price relative to
Monitoring the selected option order. If the price of the underlying instrument falls
BELOW the lower stock range price, the option order will be cancelled.
Merely touching the price does not cancel the order.
Undrl. Range (High)- enter a high end acceptable stock price relative
to the selected option order. If the price of the underlying instrument
rises ABOVE the upper stock range price, the option order will be
cancelled. Merely touching the watermark does not cancel the order.
Reference Used for smart-routed Index Option volatility orders. This field allows
Contract you to select the futures contract to use for calculating the implied
volatility. To activate this feature, use the Volatility and Analytics page
in Global Configuration and selectPrice index options relative to
futures contract.
For a more detailed description of Trailing Stop orders visit the Order Types information page.
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Chapter3 Attach a Delta Hedge Order
Attach a Delta Hedge Order
Attach a delta hedge order to an options order, and as an alternative to setting a hedge order
attribute in the original Volatility order line.
To attach a Delta Hedge order
1. From the right-click menu, select Attachand then select Delta Hedge.
A new linked delta hedge order line displays. The link between the parent and child
orders is illustrated in the Key field.
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Chapter3 Volatility Trading
2. Select an order type for the hedging order (Limit, Market or Relative).
Please note that when you attach a delta hedge order to a Volatility order with Continuous
Update or to a Relative/Pegged-to-Stock order, the system will use the delta associated with
the parent order instead of using the current delta of the option based on market data at the time
of trade. For Volatility orders, this delta is calculated from the user-defined Implied Volatility
specified at the time of the most recent order modification or price update. For Relative/Pegged-
to-Stock orders, this is the delta specified by the user.
For a Limit delta hedge order, a snapshot of the stock bid/ask price is taken at the time the
parent order fills, and the best available price is used as the limit price (best ask for a buy and
best bid for a sell).
Volatility Trading
The Volatilityorder type lets you create option orders where the limit price is calculated as a
function of an option volatility that you can modify. If you did not create the order from the
VolatilityTrader, you can activate the Volatility tab by selecting VOL as the order type on the
Basic tab. If you have attached a delta hedge order from the trading window, you can view the
order parameters on the Hedging tab.
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Chapter3 Volatility Trading
To remove tabs and view all fields on a single large page, select the
Comprehensiveview.
Field Description
Volatility Displays the volatility used to calculate a limit price for the option. The
value shown in the Imp Vol field is calculated via the Model Navigator.
Continuously When checked, the option price is automatically updated as the
Update Limit underlying stock price moves.
Price
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Chapter3 Volatility Trading
Precautionary Set these price cap double-checks as a precaution to ensure your
Settings order price remains within an acceptable distance from the market.
Volatility Type Elect to view daily or annual volatility.
Hedge Delta Select a Hedge Order Type. An order will be submitted against the
executed option trade to maintain a delta neutral position.
For index options, you can define the Hedging, or reference, contract. If
you have modified the reference contract in the Model Navigator, the
modified contract will be used as the new default reference contract for
the order.
For a Limit delta hedge order, a snapshot of the stock bid/ask price is
taken at the time the parent order fills, and the best available price is
used as the limit price (best ask for a buy and best bid for a sell).
Use the Hedge Auxiliary Price field to set an auxiliary price for orders
that require one, such as the offset for a Relative order.
Reference Bid or Ask - If selected, use the NBB (bid) when buying a call or selling
Price Type a put and the NBO (ask) when selling a call or buying a put.
Average - uses average of the best Bid and Ask. This price is also used
to compute the limit price sent to an exchange (whether or not
Continuous Update is selected), and for underlying range price
monitoring
Reference Select a futures contract to use in calculating the index value. The order
Contract price is then derived from this index value.
Underlying Underlying Range (Low) - enter a low end acceptable stock price
Price relative to the selected option order. If the price of the underlying
Monitoring instrument falls BELOW the lower stock range price, the option order
will be cancelled. Merely touching the price does not cancel the order.
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Chapter3 Write and Roll Options
Underlying Range (High) - enter a high end acceptable stock price
relative to the selected option order. If the price of the underlying
instrument rises ABOVE the upper stock range price, the option order
will be cancelled. Merely touching the watermark does not cancel the
order.
Write and Roll Options
Use the Write Options tool to sell calls against long stock positions and sell puts against your
short stock positions. Use the Rollover Options tool to roll over options that are about to expire
to a similar option with a later expiration date.
Write Options 395
Write/Roll Options: Option Chains 397
Rollover Options 398
Write Options
Advisors can use the Write Options tool to quickly see all of their sub-accounts long and short
positions and to write options orders against their uncovered stock.
Open the Write Options tool
From Mosaic: Use the New Window drop down and select More Advanced Tools and then
select Write Options.
From Classic TWS: From the Trading Tools menu, scroll to the Options Focus section and
select Write Options.
Advisors will see the Select Account dropdown that lists all of their Account Groups and
individual sub-accounts.
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Chapter3 Write Options
To use the Write Options tool
1. Select an Account Group, an individual sub-account, a Model or All accounts.
2. Describe the options to buy and sell:
If you are writing covered calls on your long stock positions, note that you can also
choose to buy protective puts to create a collar combo.
If you are writing covered puts on short positions, you can also elect to buy protective
calls to create a collar combo.
3. Confirm or modify any conditions on the options and click Refresh to update the list of
options to write.
4. The Review Options to Write list includes any positions for the account(s) you selected,
the quantity of the position that is uncovered (has no options written against it) and the
options that meet the criteria specified. Note that all options are selected by default. Click
a check box to deselect the option for any account.
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5. Click the pencil icon next to the option to open the Option Chains and select a different
option to buy or sell.
6. Review or change the Order Type and price information and click Create Orders.
7. Orders will display in the Orders panel; click Transmit All to submit, or submit one order at
a time using the Transmit button in the Status field.
Write/Roll Options: Option Chains
To select different options to buy or sell in the Write Options tool, click the pencil icon on the line
you want to change and use the Option Chains to select a new contract.
To select a new option to buy or sell
1. From the Review Options to Write list, click the pencil icon on the far right of the option
line you want to change.
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The Option Chains window opens with the currently selected call and/or put contracts
highlighted. Calls display to the left of the Description column and puts display to the
right.
2. To select a new call option, click the desired description on the left side. You will see the
call option highlighted. To select a put, click the description on the right side.
3. Click OK when the new options have been selected.
Rollover Options
Quickly see all of your sub-accounts options that are about to expire and roll them over to the
next month's contract
To roll over options
1. Open the Rollover Options tool:
From Mosaic: Use the New Window drop down and select More Advanced Tools and
then select Rollover Options.
From Classic TWS: From the Trading Tools menu, scroll to the Options Focus sec-
tion and select Rollover Options.
Advisors will see the Select Account dropdown that lists all of their Account Groups and
individual sub-accounts.
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Chapter3 Rollover Options
To use the Roll Options tool
1. Advisors Only: Select an Account Group, an individual sub-account, or All accounts.
2. Choose whether you want to write calls on long stock positions, or write puts on short
stock positions.
3. Use the default description or modify any conditions on the options, and click Refresh.
The list of Options to Roll includes any option positions for the account(s) you selected and the
roll-to option that meets the criteria specified.
4. Click the pencil icon next to the option to open the Option Chains and select a different
option to buy or sell.
5. Review or change the order information and click Create Orders.
6. Orders will display in the Orders panel; click Transmit All to submit.
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Chapter3 Yield Optimizer
Yield Optimizer
Use the Yield Optimizer to compare rates for borrowing and lending stock, and see the return
you could receive if you invested the unused cash sitting in your account in an EFP.
Open the Yield Optimizer 400
Compare Borrow Rates 402
Open the Yield Optimizer
The Yield Optimizer allows you to compare the borrow rates for hard-to-borrow stocks using
different strategies, including EFPs (where you would buy the stock and sell the stock future,
essentially borrowing the shares), or having IB borrow shares for you.
Open the Yield Optimizer
From Mosaic: Use the New Window drop down and select More Advanced Tools and then
Yield Optimizer.
From Classic TWS: From the Trading Tools menu, scroll to the Stock Borrow/Loan section
and select Yield Optimizer.
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Use the Yield Optimizer to Compare Borrow Rates.
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Compare Borrow Rates
The Yield Optimizer opens and displays all tickers in which you currently hold a short position.
If you are considering putting on a short position and want to compare rates for the borrow
transaction, use the Borrow Shares section of the Yield Optimizer.
Borrow Shares - Fields
Field Description
Net This is your aggregate net stock and SSF short
Position position.
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First Shows the rate you would pay to borrow shares by
EFP selling the EFP with the nearest SSF expiration.
When you sell the EFP, you buy the stock and sell
the SSF - this temporary purchase is in essence a
borrow.
Next Shows the rate you would pay to borrow shares by
EFP selling the EFP with the next closest SSF expiration.
When you sell the EFP, you buy the stock and sell
the SSF - this temporary purchase is in essence a
borrow.
IB Rate Shows the rate you would pay to borrow the shares
from IB. If you hold a short position and have not
borrowed shares using any other method, this is the
rate you are currently paying.
To compare borrow rates
1. Enter the underlying for the stock you want to short.
2. Compare borrow rates between First EFP, Next EFP, and IB Borrow Rate.
3. Select a row to view the details in a sub-panel.
Note that the contract details panel displays all available EFPs.
To borrow shares using one of the Yield Optimizer methods, click the desired Borrow Rate from
the contract panel.
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4
Algorithmic Trading
Algos can help to balance market impact with risk to get the best price for large volume orders.
Our growing family of algos includes the following:
Accumulate Distribute Algo 407
Get Started 408
Define the Algorithm 411
Basic Algorithm Example 414
Using Templates 415
Define Algo Conditions 416
Create Multiple Algo Orders 418
Transmit and Modify the Algo 419
Monitor the Order Progress 420
About IB Algos 421
About IB Algos 422
Adaptive Algo 423
Arrival Price 425
Close Price Strategy 426
Dark Ice 428
Percentage of Volume Strategy 429
Price Variant Percentage of Volume Strategy 430
Size Variant Percentage of Volume Strategy 432
Time Variant Percentage of Volume Strategy 433
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Chapter4 Algorithmic Trading
TWAP 434
VWAP 435
Minimize Impact 437
Balance Impact and Risk 437
CSFB Algos 439
CSFB Auction 439
CSFB Blast 440
CSFB Close 442
CSFB Crossfinder+ 443
CSFB Float 445
CSFB Float Guerrilla 447
CSFB Guerrilla 450
CSFB Price Inline 453
CSFB I Would 455
CSFB Lightpool 458
CSFB Pathfinder 459
CSFB Pre/Post 460
CSFB Reserve 461
CSFB Sniper 463
CSFB Tex 466
CSFB TWAP 468
CSFB Volume Inline 471
CSFB VWAP 473
Jefferies Algos 476
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Chapter4 Algorithmic Trading
Jefferies Blitz 477
Jefferies DarkSeek 478
Jefferies Finale 481
Jefferies Multi Scale 483
Jefferies Opener 486
Jefferies Pairs - Net Returns 489
Jefferies Pairs - Ratio 490
Jefferies Pairs - Risk Arb 492
Jefferies Patience 494
Jefferies Portfolio 497
Jefferies Post 500
Jefferies Seek 503
Jefferies Strike 506
Jefferies Trader 509
Jefferies TWAP 510
Jefferies Volume Participation 514
Jefferies VWAP 517
Option Portfolio 521
Get Started 521
Define and Submit the Query 524
Constrain the Query Results 529
Evaluate the Solution 530
View What-if Risk in the IB Risk NavigatorSM 531
ScaleTrader 535
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Chapter4 Accumulate Distribute Algo
About ScaleTrader 536
Basic Scale Orders 538
Example 1: Basic Scale Order 541
Basic Scale with Profit Orders 542
Example 2: Scale order with Profit-Taking Orders 545
Scale Profit Orders with Initial Component 547
Example 3: Scale with Profit and Initial Component size 551
Scale Profit with Restore Size 553
Example 4: Scale order with Restore Size 556
Example 5: Restart ScaleTrader 558
Example 6: Restart ScaleTrader with Filled Initial Component Size 559
ScaleTrader for Pairs 560
Use the ScaleChart 562
View Scale Progress 564
Scale Order Examples 565
Combo Orders 566
ScaleTrader Summary 567
Accumulate Distribute Algo
Use the Accumulate/Distribute algo to buy or sell large quantities in smaller, random sized
increments over time, minimizing market impact. This algo supports multiple asset classes
including stocks, options, futures, forex, and combination orders.
Customize the basic algo with conditions to meet your specific views on the market. Multi-
account users will see the Account selection list at the top of the algo page.
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Orders submitted via Accumulate/Distribute currently are active only while you are logged into
TWS and stop when you log out. When you log back into TWS, answer Yes when asked if you
want to reactivate the algo. If you answer No your Accumulate/Distribute algo orders are
deleted.
Get Started 408
Define the Algorithm 411
Basic Algorithm Example 414
Using Templates 415
Define Algo Conditions 416
Create Multiple Algo Orders 418
Transmit and Modify the Algo 419
Monitor the Order Progress 420
Get Started
The Accumulate/Distribute algo works to get the best price for your large volume orders while
attempting to minimize market impact. It achieves this by slicing large orders into smaller
components, and accumulating or distributing over time based on your pre-defined order
parameters.
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The algo window is divided into four major sections:
The Algorithmarea, where you define the basic parameters of the order.
The Conditionsarea, where you specify conditions about price, position and market beha-
vior that must remain true for your order to be valid.
The order Summary, which displays continuous real-time order progress.
The Control buttons, which you use to start and stop the algo and apply changes.
It also includes the Orders, Trades and Log panels, and the Quote panel to define the
instrument .
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To open the Accumulate/Distribute window
From the New Window dropdown scroll to the More Advanced Tools menu and then scroll
up to Accumulate/Distribute.
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Define the Algorithm
The Algorithmarea is where you set up basic parameters of the algo. Fields shaded pink are
required.
Numbered descriptions below correspond to the numbered fields in the image above.
1. Select the action, BUY or SELL.
2. Enter the total order quantity, for example 1,000,000.
3. Define the size component for each increment. For example, you may want to trade the
1,000,000 share order in 500-share increments.
4. Specify the timing of order submission for the components, in seconds, minutes, or hours.
For example, you may want to accumulate 1,000,000 shares in 500 share increments
every 30 seconds.
5. Select the order type. The fields to set the price depend on the order type you select. For
stock orders, choose from:
Market - the order will attempt to fill at the current market price.
Limit - set a limit price with an optional offset amount which must be met or bettered for
the order to fill.
Relative - Set an optional offset amount, and specify a cap. The quote adjusts auto-
matically based on your criteria as the market moves.
RPI (Retail Price Improvement) - For stocks only. This order type is similar to a Rel-
ative order but requires an offset of higher than zero.
6. Select time in force.
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7. Set order price to ...(for RELATIVE orders) For BUY orders, use the bid plus any amount.
For SELL, use the ask minus any amount. To use only the bid/ask with no offset you must
enter 0. This field is only visible for REL orders only and works with the following field:
8. ...but not higher than- For RELATIVE orders, this is the price cap, which works in
conjunction with the price calculation set in the previous field.
- For LMT orders, the field is Set limit price to:...
- For MKT this field does not display.
Choose from the following calculations to ensure the limit price will not be set higher than
(for a buy) or lower than (for a sell):
None - for REL orders only. There is no cap on the price.
Value - opens a field to set an absolute limit price.
Mark Price- this is a static value shown in parentheses plus or minus an offset. This
price will not move with the order.
Bid- bid plus/minus an optional offset amount. Enter a negative value to effect a minus
offset.
Ask- ask plus/minus an optional offset amount. Enter a negative value to effect a
minus offset.
Last- the last traded price plus/minus an optional offset amount. Enter a negative
value to effect a minus offset.
VWAP- the VWAP plus/minus an optional offset amount. Enter a negative value to
effect a minus offset.
Mov VWAP - the moving VWAP (of the current instrument ) over the past [specified
time period] plus/minus an optional offset amount. Enter a negative value to effect a
minus offset.
Mov Avg - the moving average (of the current instrument ) over the past [specified time
period] plus/minus an optional offset amount. Enter a negative value to effect a minus
offset.
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Chapter4 Define the Algorithm
Exp Mov Avg- the exponential moving average (of the current instrument ) over the
past [specified time period] plus/minus an optional offset amount. Enter a negative
value to effect a minus offset.
My Last Trade- the price of the last trade in the algo, shown as the Last Trade Pricein
the order Summary block. Note that this value cannot be used for the limit price alone
since it would have no price for the first trade.
Relative to size traded- calculates the price cap as: user-defined base priceminus
user-defined offset valueper number of sharesrelative to the total size traded in the
algo, which is reflected in the Shares bought field of the algo Summary block. For
example, if the values are: $5.50 - .02 per 100 shares, the cap price for the first 100-
share order where Size Traded = 0 would be $5.50. Assuming the trade continues to
execute in 100-share increments, the price cap would changes as follows: Size
Traded = 100 cap = $5.48; Size Traded = 200 cap = $5.46; Size Traded = 300 cap =
$5.44.
Relative to position- calculates the price cap the same as Relative to size
tradedexcept that the calculation is relative to the position as specified in the Account
window and the Position column, while the size traded is relative to what happens
only in the Accumulate/Distribute algo.
9. Enter the value that corresponds to the selection above.
10. For Relativeand Limitorders, click andto add more price conditions to the but not
higher than/not lower than price capping calculation. When you add multiple price-bound-
ing conditions, a new Greatest of/Least of selection appears for you to ensure the order
price will not be higher(lower) than the greatest of/least of Condition Aand Condition
Band Condition C etc.
11. Start time - by default, the start time is set to the current time, or to the next open if the mar-
kets are currently closed. Click in the field to set a new start time, but note that the algo will
not start until you hit the Startbutton.
12. End time - by default, the end time is set to closing time of the current day, or to the next
close is the algo is started outside of regular trading hours. Click in the field to set a new
end time.
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Chapter4 Basic Algorithm Example
13. Modify the time zone if desired.
14. Wait for current order to fill before submitting next order - if checked, the next component
will be held until the current quantity fills. The countdown until the Time of next order stops
while the algo waits for the current order to fill. Once it fills, the next order is submitted if
the specified time interval has elapsed.
15. Catch up in time- if checked and the algo falls behind, the next order will be placed imme-
diately after the current order fills, disregarding the time interval. This process will repeat
until the algorithm has caught up. Missed ordersare tracked in the algo Summary block.
After one order fills, there is always a delay of two seconds before the next order is
submitted.
16. Randomize time period by +/- 20%- if checked, the time interval you specified will be
increased or decreased randomly by up to 20% in either direction, to help keep the order
from being noticed in the market. For example, if your defined time interval is 40 seconds,
randomizing allows the algo to submit orders at intervals of 32, 33, 34, 35, 36, 37, 38, 39,
40, 41, 42, 43, 44, 45, 46, 47 or 48 seconds.
17. Randomize size by +/- 55%- if checked, the increment size you specified will increase or
decrease randomly by up to 55% (rounded to the nearest 100) in either direction, to help
keep the order from being noticed in the market. For example, if your defined increment is
500 shares, randomizing allows the algo to submit orders in random increments of 200,
300, 400, 500, 600, 700 or 800 shares.
18. Allow this order to be filled outside of regular trading hours - if checked order may fill
outside regular trading hours.
19. If the bid/ask is ____ or higher - for a buy order, if the current offer size is greater than or
equal to the size entered here AND the price is the same or better than the entered price,
the algo will take the entire size, or as much as will not exceed the total order quantity.
This order is submitted as IOC (Immediate-or-cancel).
Basic Algorithm Example
The populated fields in the image below translate to the following:
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Chapter4 Using Templates
Buy 500,000 shares in size increments of 200 every 25 seconds. Set the price to the current
best bid, but dont pay any more than the ask price. Let the algo run until it fills or is
canceled.Wait for the current size component to fill before submitting the next increment, and if
the algo falls behind schedule catch up in time by submitting increments immediately after a fill
instead of honoring the time interval. Mix up the time intervals by adding and subtracting 20%,
and make the order size less uniform by adding/removing 55% on each order, rounding to
ensure no odd lots. If a large size order hits the market with a size of 200,000 or more and a
price of 421.00 or better, take the entire offer without exceeding the original total order quantity
or 500,000.
Using Templates
You can save the basic algorithm settings in a named template to help you save time defining
multiple Accumulate/Distribute algo orders. Please note that the template only saves the basic
algo settings, not the conditions, since conditions are instrument -specific and would not
translate across different algo orders.
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Chapter4 Save Settings as a Template
Save Settings as a Template
After you have defined the basic algo settings described in the Define the Algorithmsection,
you may elect to save these parameters for use with another Accumulate/Distribute algo order.
To save a template
1. From the Template command in the title bar, Save Template As.
2. Enter a descriptive name for the template (for example Buy 20000 or Sell 1,000,000) and
click OK.
To use an Accumulate/Distribute template
From the Template command in the title bar, select Load Template.
If you make changes to an existing template after you load it, you have the choice to either Save
Templatewhich saves your changes to the existing template, or Save Template Asto create a
new template.
Define Algo Conditions
Note that the more conditions to be met, the more difficult it may be for your order to completely
fill or to fill according to schedule.
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All of the conditions are optional, but if you elect to set a condition, any unfilled fields in the
definition become mandatory and are shaded pink.
To clear the values from a condition, click the x at the end of the line. The x only appears
when you have entered data in a field.
Numbered descriptions below correspond to the numbered fields in the image above.
1. Specify whether you want untrue conditions (when set) to permanently stop the algo, or to
stop it temporarily and resume if/when conditions become true.
2. Define a range within which the instrument price must stay for the order to continue work-
ing.
3. Ensure that the price movement will not be affected by news stories by entering a value in
minutes. Until there has been no news for your defined time period as the algo will not
work. News is monitored by the news suppliers you have set up in TWS, including Google
News, Yahoo! Headlines and the Reuters subscription service.
4. Specify that your position, as reflected in the Account window and Position column, must
be greater than or less than a specified value. This acts as a floor or ceiling for the
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Chapter4 Create Multiple Algo Orders
position. Not only will TWSnotplace the order if the Position condition is violated, but it
will not fill any order that would leave it violated.
5. Moving averages for this contract- Define moving average criteria for the current instru-
ment . Specify that the current instrument s: moving VWAP, moving average, expo-
nential moving averageor last over the past [specified time period] is at least a
[specified percent] greater than or less than another moving average (for the current instru-
ment ) over [specified time period]. To clear the values, click the x at the end of the line.
6. Moving averages for - Compare two moving averages, which could be for the same
instrument or for different contracts, for the same time period or for different time periods.
Specify the underlying, and then set values as in #4 above. To clear the values, click the
x at the end of the line.
7. These three fields work together to compare the change in price of two stocks over a spe-
cified time period, based on the difference between the stocks price and its moving aver-
age. The algo completes the calculation based on your inputs. To clear the values, click
the x at the end of the line. Enter a percent value difference that must be met between the
two stock calculations.
Create Multiple Algo Orders
The Accumulate/Distribute algo was designed to allow a single trader to do the work of multiple
traders, and it's easy to create and monitor multiple orders from the same page.
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Chapter4 Transmit and Modify the Algo
To add another Algo
1. Click the "+" sign from the Accumulate/Distribute algo page to add a new tab.
2. On the new page, enter a symbol in the Contractfield on the Quote panel and select an
instrument .
3. Define the algo.
To monitor all algo orders from a single page, open the Accum/Dist Summary tab.
Transmit and Modify the Algo
Use the buttons along the bottom of the Conditionsarea to control the algo.
You cannot activate the algo until all required fields are filled. Missing fields are shaded pink.
Once all fields are complete you can activate the algo. Buttons works as described below:
Preview - Click to update the order line, and to display the Order Preview box.
Transmit - Transmit the order. Additionally, if you modify the order, click to apply changes to the
algo. For example, if you change the share increment from 500 to 300, the change will not be
recognized until you click the Transmit button.
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Save - Saves the order for transmission at a later date.
Restore- click to restore unapplied changes to the original value. For example, you can undo
your change by clicking Restore. Once you Apply the change the Restore button is no longer
available.
Cancel Order - Cancels the order.
Start - activates the algo. If you stop the algo manually, click Start to resume from where it left
off.
Stop - stops the algo. This button will become active once the algo is started.
Reset - if the algo is stopped, either because it has finished or because you have manually
stopped it, the Reset button will start the algo from the beginning. If you prefer to resume the
algo from where it left off, use the Start button.
Status text: this note tells you what is happening on the current algo screen.
Monitor the Order Progress
The order Summary provides real-time data to let you monitor the progress of the
Accumulate/Distribute order. This data applies only to the algo on this page. Use the aggregate
Summarytab to see order management lines for all of your Accumulate/Distribute algos.
Data in the Summary block monitors the order in real time and shows the following:
Share submitted - Shows the number of shares that have currently been submitted.
Shares bought - The total number of shares bought (or sold) to date in the algo. The sliding
shading illustrates the percent of the order complete.
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Chapter4 About IB Algos
Shares remaining - The outstanding quantity.
Last Trade Price - The price at which the last trade in the algo filled.
Average price - The average price to date for the completed portion of the order.
Time of last size increase - The time the last component size filled.
Time until next size increase - The counter counts down the time until the next component
size will be submitted.
About IB Algos
Our proprietary IB Algos are designed to help balance market impact with risk on your large
volume orders. A brief overview of our expanding family of IB Algos is shown below. Click an
algo to find out more:
Adaptive: Attempts to achieve the fastest fill at the lowest all-in price.
Arrival Price: Attempts to achieve the bid/ask midpoint at the time that the order was submitted.
Balance Impact and Risk: Balances the market impact of trading the option with the risk of price
change over the time horizon of the order.
Close Price: 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.
Dark Ice: Like an Iceberg/Reserve order, Dark Ice exposes only a fixed, small amount of the
total order quantity at a time, but the Dark Ice algo also randomizes the display size based on
the probability of the price moving favorably.
Minimize Impact: Lets you control participation in the Average Daily Options Volume, and tries
to minimize market impact by slicing the order over time to achieve a market average without
going over the user-defined Max Percentage value.
Percentage of Volume: Helps clients limit the contribution of their orders to the overall average
daily volume, thereby minimizing the impact that their orders have on the price of the instrument
.
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Price Variant Percentage of Volume: This algo lets you participate in the average daily volume
at a user-defined rate that varies over time, depending on the market price of the security.
Size Variant Percentage of Volume: This algo lets you participate in volume at a user-defined
rate that varies over time, depending on the remaining size of the order.
TWAP: Aims to achieve the time-weighted average price calculated from the time you submit
the order to the time it completes. Incomplete orders at the end of the stated completion time can
continue to fill if the box 'allow trading past end time' is checked.
Time Variant Percentage of Volume: A customizable IB algo that lets you participate in the
Average Daily Volume at a user-defined rate that varies with time. You define the target percent
"rate of participation" at the start and end time, and the algo calculates the participation rate
over time between the two. This allows your order to work more aggressively at the start and
less so at the end, or vice versa.
VWAP: The best-efforts VWAP algo seeks to achieve the Volume-Weighted Average Price
calculated from the time you submit the order to the close of the market. The best-efforts VWAP
algo is a lower-cost alternative to the Guaranteed VWAP.
About IB Algos
Our proprietary IB Algos are designed to help balance market impact with risk on your large
volume orders. A brief overview of our expanding family of IB Algos is shown below. Click an
algo to find out more:
Adaptive: Attempts to achieve the fastest fill at the lowest all-in price.
Arrival Price: Attempts to achieve the bid/ask midpoint at the time that the order was submitted.
Balance Impact and Risk: Balances the market impact of trading the option with the risk of price
change over the time horizon of the order.
Close Price: 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.
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Dark Ice: Like an Iceberg/Reserve order, Dark Ice exposes only a fixed, small amount of the
total order quantity at a time, but the Dark Ice algo also randomizes the display size based on
the probability of the price moving favorably.
Minimize Impact: Lets you control participation in the Average Daily Options Volume, and tries
to minimize market impact by slicing the order over time to achieve a market average without
going over the user-defined Max Percentage value.
Percentage of Volume: Helps clients limit the contribution of their orders to the overall average
daily volume, thereby minimizing the impact that their orders have on the price of the instrument
.
Price Variant Percentage of Volume: This algo lets you participate in the average daily volume
at a user-defined rate that varies over time, depending on the market price of the security.
Size Variant Percentage of Volume: This algo lets you participate in volume at a user-defined
rate that varies over time, depending on the remaining size of the order.
TWAP: Aims to achieve the time-weighted average price calculated from the time you submit
the order to the time it completes. Incomplete orders at the end of the stated completion time can
continue to fill if the box 'allow trading past end time' is checked.
Time Variant Percentage of Volume: A customizable IB algo that lets you participate in the
Average Daily Volume at a user-defined rate that varies with time. You define the target percent
"rate of participation" at the start and end time, and the algo calculates the participation rate
over time between the two. This allows your order to work more aggressively at the start and
less so at the end, or vice versa.
VWAP: The best-efforts VWAP algo seeks to achieve the Volume-Weighted Average Price
calculated from the time you submit the order to the close of the market. The best-efforts VWAP
algo is a lower-cost alternative to the Guaranteed VWAP.
Adaptive Algo
This algo can be used with a limit or market order, and is designed to achieve better than
average cost efficiency over basic limit and market orders by ensuring that market and
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Chapter4 Adaptive Algo
aggressive limit orders trade between the spread. You can specify how urgently you want the
order to fill using the "priority/urgency" selector in the algo window.
To create an Adaptive algo
Specify the order side (buy/sell) and quantity in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select Adaptive.
By default, the priority is set to normal. If you would like to make it more or less urgent, click
advanced to open the Algo Parameters. Use the drop down to specify the urgency:
Critical: Of all four selections scans available prices most quickly to fill, and so provides low-
est chance of price improvement, and lowest chance of price variance.
Urgent: Of all four selection, scans available prices second most quickly to fill, and so
provides some chance for price improvement and less than average chance of price vari-
ance.
Normal (default): Of all four selection, scans available prices second most slowly to fill, and
so provides a good chance of price improvement and an average chance of price variance.
Patient: Of all four selections scans available prices most slowly to fill, and so provides the
highest chance of a better overall fill and also the highest chance of price variance.
Click Submit to send.
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Arrival Price
This strategy is designed to achieve or outperform the bid/ask midpoint price at the time the
order is submitted, taking into account the user-assigned level of market risk which defines the
pace of the execution, and the user-defined target percent of volume.
To create an Arrival Price algo
Set up the order in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select Arrival 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 Doneto the least aggressive
Passive. 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.
TWS Guide 425
Chapter4 Close Price Strategy
Allow trading past end time - if checked, the algo will attempt completion by the specified
end time, but will continue to work past the end time to execute any unfilled portion. This fea-
ture only applies when an End Time has been specified.
Attempt completion by EOD - if checked your order will be execute by the end of day if pos-
sible. 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 IBAlgos, see the IB Order Types and Algospage.
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.
TWS Guide 426
Chapter4 Close Price Strategy
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 Doneto 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 pos-
sible. 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.
TWS Guide 427
Chapter4 Dark Ice
Dark Ice
The Dark Ice algo is similar to an iceberg or reserve order, as it allows the user to specify a
display size different from the order size, which is shown in the market. Additionally, the algo
randomized the display size +/- 50%, and based on the calculated probability of the price
moving favorably, it decides whether to place the order at the limit price or one tick lower than
the current offer for buy orders and one tick higher than the current bid for sell orders.
To create a Dark Ice algo
Set up the order in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select Dark Ice.
Complete the algo parameters and click Submit to send the order.
Display Size - enter a size that you want displayed to the market. Note that the algo
will randomize the size by 50% on either side.
Start time/End time - change the default times at which the submitted order will start
to work and be cancelled 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 .
TWS Guide 428
Chapter4 Percentage of Volume Strategy
Allow trading past end time - if checked, the algo will attempt completion by the
specified end time, but will continue to work past the end time to execute any
unfilled portion. This feature only applies when an End Time has been specified.
For more information on IBAlgos, see the IB Order Types and Algos page.
Percentage of Volume Strategy
Allows you to participate in volume at a user-defined rate. Order quantity and volume
distribution over the day is determined using the target percent of volume you entered along
with continuously updated volume forecasts calculated from TWS market data.
To create a Percentage of Volume algo
Set up the order in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select Percentage of Volume.
Complete the algo parameters and click Submit to send the order.
Target Percentage - enter the target percentage of participation in average daily volume.
TWS Guide 429
Chapter4 Price Variant Percentage of Volume Strategy
Start time/End time - change the default times at which the submitted order will begin to
work and be cancelled using the Start/End Time fields. Note that the algo will stop at the
designated end time regardless of whether the entire quantity has filled.
Attempt to never take liquidity - check to ensure the algo order will not hit the bid or lift the
offer if possible. This may help to avoid liquidity-taker fees, and could result in liquidity-
adding rebates. However, it may also result in greater deviations from the benchmark.
IB will use best efforts not to take liquidity, however, there will be times that it can not be
avoided.
For more information on IBAlgos, see the IB Order Types and Algospage.
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.
TWS Guide 430
Chapter4 Price Variant Percentage of Volume Strategy
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.
TWS Guide 431
Chapter4 Size Variant Percentage of Volume Strategy
Size Variant Percentage of Volume Strategy
This algo strategy allows your order to work more aggressively at the start and 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 remaining order quantity.
To submit a Size 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 Size 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.
Set the Terminal (or ending) Target Percentage of the average volume to end the algo.
The system will calculate the target percentage rates between the initial and terminal rates
as the algo progresses.
Specify a start and end time if needed. Otherwise the algo will start when you transmit the
order and end at the market's close.
TWS Guide 432
Chapter4 Time Variant Percentage of Volume Strategy
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 or equal to the limit price.
Time Variant Percentage of Volume Strategy
This algo strategy allows your order to work more aggressively at the start and 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.
To submit a Time 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 Time 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.
Set the Terminal (or ending) Target Percentage of the average volume to end the algo.
The system will calculate the target percentage rates between the initial and terminal rates
as the algo progresses.
TWS Guide 433
Chapter4 TWAP
Specify a start 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 or equal to the limit price.
TWAP
Designed to achieve the time-weighted average price calculated from the time the order is
submitted to the close of the market.
To create a TWAP algo
Specify the order side (buy/sell) and quantity in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select TWAP.
Define parameters:
Trade when - select from:
Marketable - the default value indicates that the order will be submitted when it is mar-
ketable, based on your limit price.
TWS Guide 434
Chapter4 VWAP
Matching Midpoint - the order will be submitted when the limit price = midpoint of the
bid/ask.
Matching Same Side - the order will be submitted when the limit price = the price on the
same side as your order (either the bid or the ask).
Matching Last - the order will be submitted when the limit price = last price.
Start time/End time - change the default times at which the submitted order will start to work
and be cancelled 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.
Allow trading past end time - if checked, the algo will attempt completion by the specified
end time, but will continue to work past the end time to execute any unfilled portion. This fea-
ture only applies when an End Time has been specified.
For more information on IBAlgos, see the IB Order Types and Algos page.
VWAP
Designed to achieve or outperform the VWAP price, calculated from the time you submit the
order to the close of the market.
TWS Guide 435
Chapter4 VWAP
To create a VWAP algo
Specify the order side (buy/sell) and quantity in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then select VWAP.
Define parameters:
Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.
Start time/End time - change the default times at which the submitted order will start to work
and be cancelled 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.
Allow trading past end time - if checked, the algo will attempt completion by the specified
end time, but will continue to work past the end time to execute any unfilled portion. This fea-
ture only applies when an End Time has been specified.
If you specify and Start and End time, TWS confirms that acceptability of the time period using
yesterdays trading volume. If the time period you define is too short, you will receive a message
with recommended time adjustments.
Attempt to never take liquidity - Check to ensure the algo order will not hit the bid or lift the
offer if possible. This may help to avoid liquidity-taker fees, and could result in liquidity-
adding rebates. However, it may also result in greater deviations from the benchmark.
IB will use best efforts not to take liquidity, however, there will be times that it can not be
avoided.
Speed up when market approaches limit price - When checked, this feature will increase
the rate of trading when the order is marketable and the market price closes the gap toward
the order's limit price, since the chance of a market move resulting in the order becoming
non-marketable is high. Checking this feature for relatively small order sizes may help to
ensure a better fill rate.
TWS Guide 436
Chapter4 Minimize Impact
Minimize Impact
Designed to minimize market impact by slicing the order over time as defined by the Max
Percentage value. This algo applies to Options only.
Max Percentage - enter a max percentage of the average daily volume from 1% to 50%.
For more information on IBAlgos, see the IB Order Types and Algos page.
Balance Impact and Risk
Balances the market impact of trading the option with the risk of price change over the time
horizon of the order by taking into account the user-assigned level of market risk which defines
the pace of the execution, and the user-defined target percent of volume.
This algo is for options only.
TWS Guide 437
Chapter4 Balance Impact and Risk
To create a Balance Impact and Risk algo
Set up the order in the Mosaic Order Entry panel.
From the LMT type field, select IBALGO and then Balance Impact and Risk.
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 Doneto the least aggressive
Passive. This value determines the pace at which the order will be executed. High urgency
may result in greater market impact.
This feature is designed to affect large orders that affect a significant percentage of the average
daily volume.
Attempt completion by EOD - if checked your order will be executed by the end of day if pos-
sible. If not checked, a portion of your order may be left unfilled if the risk of the price chan-
ging overnight is less than the extra cost of executing the whole order today.
For more information on IBAlgos, see the IB Order Types and Algos page.
TWS Guide 438
Chapter4 CSFB Algos
CSFB Algos
To use CSFB algos, select CSFBALGO as the routing destination.
CSFB Auction 439
CSFB Blast 440
CSFB Close 442
CSFB Crossfinder+ 443
CSFB Float 445
CSFB Float Guerrilla 447
CSFB Guerrilla 450
CSFB Price Inline 453
CSFB I Would 455
CSFB Lightpool 458
CSFB Pathfinder 459
CSFB Pre/Post 460
CSFB Reserve 461
CSFB Sniper 463
CSFB Tex 466
CSFB TWAP 468
CSFB Volume Inline 471
CSFB VWAP 473
CSFB Auction
Call an auction and control the order.
TWS Guide 439
Chapter4 CSFB Blast
Field Description
Algo Selector Select the CSFB algo.
Execution Style Select the degree of urgency.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB Blast
An aggressive algo that simultaneously routes your order to all available exchanges and ECNs
with an intermarket sweep designed to getting as close to simultaneous arrival as possible.
TWS Guide 440
Chapter4 CSFB Blast
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
TWS Guide 441
Chapter4 CSFB Close
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB Close
Minimizes market impact by intelligently working orders into the close.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
TWS Guide 442
Chapter4 CSFB Crossfinder+
CSFB Crossfinder+
This strategy locates liquidity among a broad list of independent and broker-owned dark pools,
with continuous crossing capabilities. Using dynamic smart routing logic, CrossFinder+ will
spread your order over multiple destinations. This algo will fill at the midpoint or better, and may
not execute.
For large sized orders, use Blockfinder to define a price/size at which you're willing to
potentially move a large block while still working the algo.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
TWS Guide 443
Chapter4 CSFB Crossfinder+
Field Description
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
TWS Guide 444
Chapter4 CSFB Float
Field Description
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
To use CSFB algos, select CSFBALGO as the destination and then select an algo.
CSFB Float
This tactic displays only the size you want shown and floats on the bid, midpoint, or offer until
completion. Enter a display size in the Iceberg field and choose a patient, normal, or aggressive
execution.
For large sized orders, use Blockfinder to define a price/size at which you're willing to
potentially move a large block while still working the algo.
TWS Guide 445
Chapter4 CSFB Float
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
TWS Guide 446
Chapter4 CSFB Float Guerrilla
Field Description
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
To use CSFB algos, select CSFBALGO as the destination on the Basic tab.
CSFB Float Guerrilla
Uses the Guerrilla algo but floats a small, visible portion near touch to facilitate trading when
that side of the book becomes active.
For large sized orders, use Blockfinder to define a price/size at which you're willing to
potentially move a large block while still working the algo.
TWS Guide 447
Chapter4 CSFB Float Guerrilla
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Min % Participation Define the max percent of
volume if desired.
TWS Guide 448
Chapter4 CSFB Float Guerrilla
Field Description
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
TWS Guide 449
Chapter4 CSFB Guerrilla
Field Description
I Would Price Set a price at which you are
willing to fill the entire order.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB Guerrilla
The GUERRILLA algo works differently depending on the Execution Style you select.
Normal and Passive modes: This tactic works orders without displaying bids or offers. When
liquidity materializes, it seeks to aggressively participate in the flow. If liquidity is poor, the
order may not complete.
Aggressive mode: This will hit bids/take offers in an intelligent way based on a fair price
model. It minimizes market impact and never posts bids or offers.
For large sized orders, use Blockfinder to define a price/size at which you're willing to
potentially move a large block while still working the algo.
TWS Guide 450
Chapter4 CSFB Guerrilla
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Min % Participation Define the max percent of
volume if desired.
Max % Participation Define the max percent of
TWS Guide 451
Chapter4 CSFB Guerrilla
Field Description
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
I Would Price Set a price at which you are
TWS Guide 452
Chapter4 CSFB Price Inline
Field Description
willing to fill the entire order.
To use CSFB algos, select CSFBALGO as the destination and then select an algo.
CSFB Price Inline
Minimizes implementation shortfall against the arrival price. Participation increases when the
price is favorable.
For large sized orders, use Blockfinder to define a price/size at which you're willing to
potentially move a large block while still working the algo.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
TWS Guide 453
Chapter4 CSFB Price Inline
Field Description
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Min % Participation Define the max percent of
volume if desired.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Auction Specify whether or not to
include the order in all auc-
tions, no auctions, just open-
ing, just closing or just
imbalance auctions.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
TWS Guide 454
Chapter4 CSFB I Would
Field Description
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
I Would Price Set a price at which you are
willing to fill the entire order.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB I Would
This tactic is aggressive at or better than the arrival price, but if the stock moves away it works
the order less aggressively. However, if the stock moves in your favor, it will act like Sniperand
quickly get the order done.
For large sized orders, use Blockfinder to define a price/size at which you're willing to
potentially move a large block while still working the algo.
TWS Guide 455
Chapter4 CSFB I Would
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Min % Participation Define the max percent of
volume if desired.
Max % Participation Define the max percent of
TWS Guide 456
Chapter4 CSFB I Would
Field Description
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
To use CSFB algos, select CSFB as the destination and then select the algo.
TWS Guide 457
Chapter4 CSFB Lightpool
CSFB Lightpool
Routes orders to the Credit Suisse ECN.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Iceberg Enter the display size for the
order. Cannot be less than
TWS Guide 458
Chapter4 CSFB Pathfinder
Field Description
100 shares, or greater than
the order size.
To use CSFB algos, select CSFB as the destination and then select the algo.
CSFB Pathfinder
PathFinder will intelligently and dynamically post across multiple destinations, sweeping all
available liquidity. The remainder will be posted at your limit price.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
TWS Guide 459
Chapter4 CSFB Pre/Post
Field Description
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
To use CSFB algos, select CSFBALGO as the destination and then select an algo.
CSFB Pre/Post
Smart routed algo to be used during pre- and post-market hours. Only supports limit orders.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
TWS Guide 460
Chapter4 CSFB Reserve
Field Description
the market's close.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
To use CSFB algos, select CSFB as the destination and then select the algo.
CSFB Reserve
Use the Iceberg field to display the size you want shown at your price instruction. If you do not
set a display size, the algo will optimize a display size. Upon getting filled, it sends out the next
piece until completion.
For large sized orders use Blockfinder to define a price/size at which you're willing to potentially
move a large block while still working the algo.
TWS Guide 461
Chapter4 CSFB Reserve
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
TWS Guide 462
Chapter4 CSFB Sniper
Field Description
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
To use CSFB algos, select CSFBALGO as the destination and then select an algo.
CSFB Sniper
This is a very aggressive tactic that will hit bids/take offers that are better than your limit price,
but will never post bids or offers. It achieves high participation rates. Note it is not a pure sweep
and can sniff out hidden liquidity. As a result, it is often a better choice than placing a limit order
directly into the market.
For large sized orders use Blockfinder to define a price/size at which you're willing to potentially
move a large block while still working the algo.
TWS Guide 463
Chapter4 CSFB Sniper
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
TWS Guide 464
Chapter4 CSFB Sniper
Field Description
100 shares, or greater than
the order size.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
TWS Guide 465
Chapter4 CSFB Tex
CSFB Tex
Designed to minimize implementation shortfall. The tactic takes into account movements in the
total market and in correlated stocks when making pace and price decisions. Timing is based
on price and liquidity.
For large sized orders use Blockfinder to define a price/size at which you're willing to potentially
move a large block while still working the algo.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
TWS Guide 466
Chapter4 CSFB Tex
Field Description
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Min % Participation Define the max percent of
volume if desired.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Auction Specify whether or not to
include the order in all auc-
tions, no auctions, just open-
ing, just closing or just
imbalance auctions.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
TWS Guide 467
Chapter4 CSFB TWAP
Field Description
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
I Would Price Set a price at which you are
willing to fill the entire order.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB TWAP
The system trades based on the clock, i.e., on a 2-hour order the system is 25% done after 30
minutes, 50% done after an hour, etc. Unlike VWAP, TWAP (time weighted average price) does
not speed up/slow down based on projected volume or price moves. However, it does use
smart limit order placement strategies throughout the order.
For large sized orders use Blockfinder to define a price/size at which you're willing to potentially
move a large block while still working the algo.
TWS Guide 468
Chapter4 CSFB TWAP
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Max % Participation Define the max percent of
volume if desired.
Auction Specify whether or not to
TWS Guide 469
Chapter4 CSFB TWAP
Field Description
include the order in all auc-
tions, no auctions, just open-
ing, just closing or just
imbalance auctions.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
I Would Price Set a price at which you are
willing to fill the entire order.
TWS Guide 470
Chapter4 CSFB Volume Inline
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB Volume Inline
Works the order in line with the volume.
For large sized orders use Blockfinder to define a price/size at which you're willing to potentially
move a large block while still working the algo.
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
TWS Guide 471
Chapter4 CSFB Volume Inline
Field Description
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Min % Participation Define the max percent of
volume if desired.
Max % Participation Required for this algo. Define
the max percent of volume.
Iceberg Enter the display size for the
order. Cannot be less than
100 shares, or greater than
the order size.
Auction Specify whether or not to
include the order in all auc-
tions, no auctions, just open-
ing, just closing or just
imbalance auctions.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
TWS Guide 472
Chapter4 CSFB VWAP
Field Description
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
Define the maximum size of
the block if desired.
I Would Price Set a price at which you are
willing to fill the entire order.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
CSFB VWAP
The system attempts to match the VWAP (volume weighted average price) from the start time to
the end time. A unique and powerful feature is the ability to accept a maximum percent volume
limit (dont be more than 20% of the volume.) The system trades over your time period, subject
to your price and volume constraints.
For large sized orders use Blockfinder to define a price/size at which you're willing to potentially
move a large block while still working the algo.
TWS Guide 473
Chapter4 CSFB VWAP
Field Description
Algo Selector Select the CSFB algo.
Start Time Enter a start time for the algo
if desired. If no start time is
set, the algo becomes active
when you submit.
End Time Enter the end time for the
algo if desired. If no end time
is set, the default end time is
the market's close.
Execution Style Select the degree of urgency.
Max % Participation Define the max percent of
volume if desired.
Iceberg Enter the display size for the
TWS Guide 474
Chapter4 CSFB VWAP
Field Description
order. Cannot be less than
100 shares, or greater than
the order size.
Auction Specify whether or not to
include the order in all auc-
tions, no auctions, just open-
ing, just closing or just
imbalance auctions.
Blockfinder Check to enable Blockfinder,
which submits blocks (with a
10,000 share minimum) for
execution which remaining
size continues to fill through
the algo.
Blockprice Only valid if Blockfinder is
enabled.
Define the price at which the
block is eligible to execute.
Min Block Size Only valid if Blockfinder is
enabled.
Define the minimum block
size if desired. Must be at
least 5000 and increments
are in sizes of 5000. If no
minimum size is defined the
default size of 10,000 is used.
Max Block Size Only valid if Blockfinder is
enabled.
TWS Guide 475
Chapter4 Jefferies Algos
Field Description
Define the maximum size of
the block if desired.
I Would Price Set a price at which you are
willing to fill the entire order.
To use CSFB algos, select CSFBALGO as the destination and then select the algo.
Jefferies Algos
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Blitz 477
Jefferies DarkSeek 478
Jefferies Finale 481
Jefferies Multi Scale 483
Jefferies Opener 486
Jefferies Pairs - Net Returns 489
Jefferies Pairs - Ratio 490
Jefferies Pairs - Risk Arb 492
Jefferies Patience 494
Jefferies Portfolio 497
Jefferies Post 500
Jefferies Seek 503
Jefferies Strike 506
Jefferies Trader 509
Jefferies TWAP 510
TWS Guide 476
Chapter4 Jefferies Blitz
Jefferies Volume Participation 514
Jefferies VWAP 517
Jefferies Blitz
Liquidity seeking algo that sweeps all displayed markets, and sends Immediate-or-Cancel
orders to all non-displayed markets.
Number Description
1 Choose algo
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
TWS Guide 477
Chapter4 Jefferies DarkSeek
Number Description
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Iceberg (optional) Enter display size.
6 Trading Style (optional) Indicate
increasing degrees of aggressiveness
Price Improvement
Opportunistic
Get it done
No Post
7 Buy Back -(optional) Indicates that the algo
should engage SEC Rule 10b-18 restric-
tions for Buy Back in US instruments. Also
applies local market Buy Back rules (for
non-US instruments). This field cannot be
modified. Value Y or N.
8 Trading Session (optional) - Day, Pre-Open,
After hours.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies DarkSeek
Liquidity seeking algo that searches only dark pools.
TWS Guide 478
Chapter4 Jefferies DarkSeek
Number Description
1 Select DS for the DarkSeek algo.
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Urgency (optional) Passive, Active or
Aggressive.
TWS Guide 479
Chapter4 Jefferies DarkSeek
Number Description
6 Min Take Size (optional) - Specifies the min-
imum number of shares per execution when
accessing displayed liquidity. Rounded
down to closest lot size.
7 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
8 Buy Back (optional) - Indicates that the algo
should engage SEC Rule 10b-18 restric-
tions for Buy Back in US instruments. Also
applies local market Buy Back rules (for
non-US instruments). This field cannot be
modified. Value Y or N.
9 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
10 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
TWS Guide 480
Chapter4 Jefferies Finale
Number Description
Arrival Price
PNC
Open
BPS Arrival
Price
OPP
Midpoint
11 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
12 WoW Mode
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Finale
Benchmark algo that lets you trade into the close.
TWS Guide 481
Chapter4 Jefferies Finale
Number Description
1 Choose TOC to use the Finale algo.
2 Start Time (optional) Define the algo start
time.
3 Urgency (optional) Set the degree of
urgency for execution. a. Passive b. Active
c. Aggressive
4 Close Unit (optional) Used to determine
type of Close Quantity value.
Shares
% of Order
% of ADV
% of Expected Open
5 Close Qty - (optional) - This field combines
TWS Guide 482
Chapter4 Jefferies Multi Scale
Number Description
with Close Unit field to determine the quant-
ity that will be placed into the closing auc-
tion. Positive numbers only. For an Close
Unit = Shares, Close Qty must be equal to
or greater than 1 round lot. For any %
option, value should be less than or equal to
100.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Multi Scale
Three-tiered "holder" strategy - use algorithms within this work flow.
TWS Guide 483
Chapter4 Jefferies Multi Scale
Number Description
1 Select MS to use the Multi Scale algo.
2 (optional) Set a start time
3 (optional) Set an end time
4 Base Algo (required) percent of volume
for parent (base) algo. Must be different from
Algo2 and Algo3 values:
Volume 5%
Volume 10%
Volume 15%
Volume 20%
Volume 25%
Volume 30%
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
BLITZ
VWAP Day
Custom 1
Qty Scale
Patience
5 Base Algo Max Quantity(optional) Max
quantity for parent (base) algo. Rounded
down to the closest lot size.
6 Algo2 Price Required if Algo2 is defined.
Used to trigger Algo2 and must be different
from limit price and Algo3 price. 00.00
7 Underlying Algo2 Different from Base
TWS Guide 484
Chapter4 Jefferies Multi Scale
Number Description
Algo and Algo3:
Volume 5%
Volume 10%
Volume 15%
Volume 20%
Volume 25%
Volume 30%
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
BLITZ
VWAP Day
Custom 1
Qty Scale
Patience
8 Algo2 Max Quantity (optional) Max quant-
ity for algo2. Rounded down to closest lot
size.
9 Algo3 Price - Required if Algo3 is defined.
Used to trigger Algo3 and must be different
from Base Algo price and Algo2 price. 00.00
10 Underlying Algo3 Different from Base
Algo and Algo2:
Volume 5%
Volume 10%
Volume 15%
Volume 20%
TWS Guide 485
Chapter4 Jefferies Opener
Number Description
Volume 25%
Volume 30%
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
BLITZ
VWAP Day
Custom 1
Qty Scale
Patience
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Opener
Benchmark algo that lets you trade into the open.
TWS Guide 486
Chapter4 Jefferies Opener
Number Description
1 Choose algo
2 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
3 Open Unit (optional) - Used to determine
type of Open Quantity value.
Shares
% of Order
% of ADV
% of Expected Open
4 Qty on Open - (optional) - Used in con-
junction with the Open Unit field to specify
the quantity that will be placed into the open-
ing auction. Positive numbers only. If Open
Unit is Shares, the Open Qty must be equal
to or greater than 1 round lot. For any %
option, the value must be less than or equal
to 100.
5 Post Open (optional) - Select the strategy to
use for the opening auction:
Volume 5%
Volume 10%
Volume 15%
TWS Guide 487
Chapter4 Jefferies Opener
Number Description
Volume 20%
Volume 25%
Volume 30%
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
BLITZ
VWAP Day
Custom 1
Qty Scale
Patience
6 Post Open Limit - (optional) - Absolute limit
price for the post-open strategy. This limit
will be ignored if it exceeds the overall limit
or relative limit price.
7 Post Open Benchmark - (optional)
Inside NBBO Price
Arrival Price
PNC
Open
8 Benchmark Offset - (optional) Positive or
Negative value in basis points set as the
Relative Limit from the Post Open bench-
mark. These fields work together to set the
Relative Limit for the Post Open strategy. If
the Post Open Limit is specified then the
order will use the value that is more pass-
ive.
TWS Guide 488
Chapter4 Jefferies Pairs - Net Returns
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Pairs - Net Returns
Lets you execute two stock orders simultaneously. Use Net Returns to unwind a deal.
Number Description
1 Select TR to choose the Net Return pairs
algo.
2 (optional) Set a start time
3 (optional) Set an end time
4 Volume Limit - (optional) Max rate of volume
5 Pair ID (required) - Unique ID for the day.
Must be unique per pair, per date. Specify
on both legs of the pair. Limited to 28 char-
acters.
TWS Guide 489
Chapter4 Jefferies Pairs - Ratio
Number Description
6 Balance (optional) -
Share Balanced
Cash Balanced
Ratio Balanced
7 Execution Style (optional) -
Active
TWAP
Aggressive
Custom
8 Leg Threshold - Expressed as a percentage
by for values up to 99. Values of 100 or
greater will be interpreted as a share
amount.
9 Pair Benchmark (required) -
PNC
Open
Arrival Price
10 Pair Spread ($) (optional) - Positive or neg-
ative values accepted.
11 Pair Spread Operator (required) - greater
than or equal to; less than or equal to.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Pairs - Ratio
Execute two stock orders simultaneously - use the Ratio algo to set up the pairs order.
TWS Guide 490
Chapter4 Jefferies Pairs - Ratio
Number Description
1 Choose the Ratio algo.
2 (optional) Set a start time
3 (optional) Set an end time
4 Volume Limit - (optional) Max rate of volume
5 Pair ID (required) - Unique ID for the day.
Must be unique per pair, per date. Specify
on both legs of the pair. Limited to 28 char-
acters.
6 Balance (optional) -
Share Balanced
Cash Balanced
Ratio Balanced
TWS Guide 491
Chapter4 Jefferies Pairs - Risk Arb
Number Description
7 Execution Style (optional) -
Active
TWAP
Aggressive
Custom
8 Leg Threshold - Expressed as a percentage
by for values up to 99. Values of 100 or
greater will be interpreted as a share
amount.
9 Pair Ratio (required) - Ratio per pair order.
10 Pair Spread ($) (optional) - Positive or neg-
ative values accepted.
11 Pair Spread Operator (required) - greater
than or equal to; less than or equal to.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Pairs - Risk Arb
Let's you execute two stock orders simultaneously. Allows you to setup, unwind or reverse a
deal.
TWS Guide 492
Chapter4 Jefferies Pairs - Risk Arb
Number Description
1 Select ARB to choose the Risk Arb pairs
algo.
2 (optional) Set a start time
3 (optional) Set an end time
4 Volume Limit - (optional) Max rate of volume
5 Execution Style (optional) -
Active
TWAP
Aggressive
Custom
6 Leg Threshold - Expressed as a percentage
by for values up to 99. Values of 100 or
greater will be interpreted as a share
TWS Guide 493
Chapter4 Jefferies Patience
Number Description
amount.
7 Pair ID (required) - Unique ID for the day.
Must be unique per pair, per date. Specify
on both legs of the pair. Limited to 28 char-
acters.
8 Pair Objective (optional) -
Setup
Unwind
Reverse
9 Pair Ratio (required) - Ratio per pair order.
10 CASH (optional) - same ratio value is
applied to both legs.
11 Pair Spread ($) (required) - Positive or neg-
ative values accepted.
12 Pair Spread Operator (required) - greater
than or equal to; less than or equal to.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Patience
Liquidity seeking algo targeted at illiquid securities.
TWS Guide 494
Chapter4 Jefferies Patience
Number Description
1 Choose the algo.
2 (optional) Set a start time
3 (optional) Set an end time
4 Volume Limit - (optional) Max rate of volume
5 Blocks Only - Check to specify.
6 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
TWS Guide 495
Chapter4 Jefferies Patience
Number Description
7 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
Arrival Price
PNC
Open
BPS Arrival
Price
OPP
Midpoint
8 Min Take Size - Specifies the minimum size
to take. Will be rounded down to nearest lot
size.
9 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
10 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
11 WoW Mode
BLITZ
TWS Guide 496
Chapter4 Jefferies Portfolio
Number Description
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Portfolio
Execute a group of stock orders according to user-defined input plus trading style.
TWS Guide 497
Chapter4 Jefferies Portfolio
Number Description
1 Choose the algo.
2 (optional) Set a start time.
3 (optional) Set an end time.
4 Volume Limit - (optional) Max rate of
volume.
5 Portfolio ID (optional) - Set a user ID.
6 Portfolio Limit (optional) Positive or neg-
ative value indicating the number of basis
points from the arrival price. Values from -
10,000 to 10,000.
7 Auction Participation - (optional)
TWS Guide 498
Chapter4 Jefferies Portfolio
Number Description
Exclude Both
Include Open
Include Close
Include Both
8 Urgency (optional) Passive, Active or
Aggressive.
9 Blocks Only (optional)
Cash Balance
Beta Neutral
IS
Dark Only
Exec Balance
10 Complete by EOD (optional) Define
urgency to complete by the end of the trad-
ing day.
11 Price Limit Type (optional) Fixed or Float-
ing
12 Benchmark - (optional)
Inside NBBO Price
Arrival Price
PNC
Open
13 Benchmark Offset(optional) Positive or
negative value in basis points.
14 Tracking Index (optional) User-specified
text
TWS Guide 499
Chapter4 Jefferies Post
Number Description
15 Max Outperform (optional) - Positive or neg-
ative value in basis points.
16 Min Outperform (optional) - Positive or neg-
ative value in basis points.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Post
Allows trading on the passive side of a spread.
Number Description
1 Select the algo.
2 (optional) Set a start time
3 (optional) Set an end time
TWS Guide 500
Chapter4 Jefferies Post
Number Description
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Volume Limit (optional) - The max rate of
volume.
6 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
7 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
Arrival Price
PNC
Open
TWS Guide 501
Chapter4 Jefferies Post
Number Description
BPS Arrival
Price
OPP
Midpoint
8 Min Take Size (optional) - Specifies the min-
imum number of shares per execution when
accessing displayed liquidity. Rounded
down to closest lot size.
9 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
10 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
11 WoW Mode (optional)
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
To use Jefferies algos, select JEFFALGO as the routing destination.
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Chapter4 Jefferies Seek
Jefferies Seek
This strategy pursues best execution for illiquid securities by seeking out hidden liquidity from
multiple sources, including hidden and displayed market centers.
Number Description
1 Choose algo
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
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Chapter4 Jefferies Seek
Number Description
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Auction Participation - (optional)
Exclude Both
Include Open
Include Close
Include Both
6 Urgency (optional) Passive, Active or
Aggressive.
7 Volume Limit - (optional) Max rate of volume
8 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
9 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
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Chapter4 Jefferies Seek
Number Description
Arrival Price
PNC
Open
BPS Arrival
Price
OPP
Midpoint
10 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
11 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
12 WoW Mode
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
To use Jefferies algos, select JEFFALGO as the routing destination.
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Chapter4 Jefferies Strike
Jefferies Strike
This strategy seeks best execution in the user-designated time period, while minimizing market
impact and volatility cost and tracking the arrival price.
Number Description
1 Choose algo
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
basis points. The strategy will use the
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Chapter4 Jefferies Strike
Number Description
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Volume Limit - (optional) Max rate of volume
6 Urgency (optional) Passive, Active or
Aggressive.
7 Auction Participation - (optional)
Exclude Both
Include Open
Include Close
Include Both
8 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
9 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
Arrival Price
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Chapter4 Jefferies Strike
Number Description
PNC
Open
BPS Arrival
Price
OPP
Midpoint
10 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
11 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
12 WoW Mode
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
To use Jefferies algos, select JEFFALGO as the routing destination.
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Chapter4 Jefferies Trader
Jefferies Trader
Change order parameters without cancelling and recreating the order. Workflow algo that lets
you interactive with a working order and toggle between strategies with a single click.
Number Description
1 Choose the TRADER algo.
2 Strategy Intent (required):
Volume 5%
Volume 10%
Volume 15%
Volume 20%
Volume 25%
Volume 30%
Volume 33%
Volume 50%
DARKSeek
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Chapter4 Jefferies TWAP
Number Description
Seek Passive
Seek Active
Seek Aggressive
BLITZ
VWAP Day
VWAP 1 Hour
VWAP Hr
VWAP 10 Minutes
Custom 1
Custom 2
3 Action Type (optional):
Halt
Resume
Check Dark
Take / Hit
4 Action Qty (optional) - Enter the number of
shares. Not available if Action Type is "Halt"
or "Resume."
5 Action Price - Enter the price.
Not available if Action Type is "Halt" or
"Resume."
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies TWAP
This strategy spreads transactions evenly over the designated time period by slicing the total
order quantity into smaller orders.
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Chapter4 Jefferies TWAP
Number Description
1 Choose algo
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Volume Limit - (optional) Max rate of volume
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Chapter4 Jefferies TWAP
Number Description
6 Auction Participation - (optional)
Exclude Both
Include Open
Include Close
Include Both
7 Trading Session (optional) DAY, Pre Open
or after hours.
8 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
9 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
Arrival Price
PNC
Open
BPS Arrival
Price
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Chapter4 Jefferies TWAP
Number Description
OPP
Midpoint
10 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
11 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
12 WoW Mode
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
13 Buy Back -(optional) Indicates that the algo
should engage SEC Rule 10b-18 restric-
tions for Buy Back in US instruments. Also
applies local market Buy Back rules (for
non-US instruments). This field cannot be
modified. Value Y or N.
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Chapter4 Jefferies Volume Participation
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies Volume Participation
This strategy allows the user to designate the percentage of stock to be executed during a
specified period of time to keep in line with the printed volume. The impact of the trade is
directly linked to the volume target you specify.
Number Description
1 Choose algo
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
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Chapter4 Jefferies Volume Participation
Number Description
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Volume Limit - (optional) Max rate of
volume.
6 Dark Volume Limit Max rate of volume for
dark pool liquidity.
7 Auction Participation - (optional)
Exclude Both
Include Open
Include Close
Include Both
8 Trading Session DAY, Pre Open, After
hours.
9 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
10 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
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Chapter4 Jefferies Volume Participation
Number Description
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
Arrival Price
PNC
Open
BPS Arrival
Price
OPP
Midpoint
11 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
12 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
13 WoW Mode
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
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Chapter4 Jefferies VWAP
Number Description
Custom 1
Patience
14 Buy Back -(optional) Indicates that the algo
should engage SEC Rule 10b-18 restric-
tions for Buy Back in US instruments. Also
applies local market Buy Back rules (for
non-US instruments). This field cannot be
modified. Value Y or N.
To use Jefferies algos, select JEFFALGO as the routing destination.
Jefferies VWAP
This strategy automatically manages transactions to approximate the all-day or intra-day VWAP
through a proprietary algorithm.
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Chapter4 Jefferies VWAP
Number Description
1 Choose algo
2 (optional) Set a start time
3 (optional) Set an end time
4 Relative Limit - (optional) Positive and
Negative values are allowed. Creates a
"soft" limit on the order as a price move from
arrival price by the specified number of
basis points. The strategy will use the
Arrival Price after Market Open, the days
Opening price if the order is received before
Market Open.
5 Volume Limit - (optional) Max rate of volume
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Chapter4 Jefferies VWAP
Number Description
6 Auction Participation - (optional)
Exclude Both
Include Open
Include Close
Include Both
7 Trigger Price (optional) Takes any positive
value to trigger the algo. No maximum
8 WoW Price (optional) Users must be able to
modify this field on a Cxl/Replace or cancel
the original entry. If this field has a value,
user may specify BPS Arrival or Price. Price
is the default behavior if WoW Reference is
not submitted.
9 WoW Reference (optional)This field is used
in con-junction with the WoW Price fields. If
a user enters a value in the WoW Price
field; they may specify BPS Arrival or Price.
If WoW Price is not submitted, a reference
can be submitted for processing. Users
must be able to modify this field on a
Cxl/Replace or cancel the original entry.
Market
Inside NBBO Price
Arrival Price
PNC
Open
BPS Arrival
Price
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Chapter4 Jefferies VWAP
Number Description
OPP
Midpoint
10 Min Fill Size - (optional) Specifies minimum
number of shares per execution. This
applies only to eligible dark pool fills.
11 WoW Order Percentage - (optional) spe-
cified max percent of order WoW can act on.
5-100.
12 WoW Mode
BLITZ
DARKSeek
Seek Passive
Seek Active
Seek Aggressive
Volume 10%
Volume 20%
Volume 30%
VWAP Day
Custom 1
Patience
13 Buy Back -(optional) Indicates that the algo
should engage SEC Rule 10b-18 restric-
tions for Buy Back in US instruments. Also
applies local market Buy Back rules (for
non-US instruments). This field cannot be
modified. Value Y or N.
TWS Guide 520
Chapter4 Option Portfolio
To use Jefferies algos, select JEFFALGO as the routing destination.
Option Portfolio
Use the Option Portfolio to select, analyze and trade combinations of options on any US stock
or index to achieve the user-specified values of the Greeks, including delta, gamma, vega and
theta, or to compare cost/P&L for a contract or combo you would like to acquire with a simulated
portfolio.
Save the Option Portfolio query to Risk Navigator to have orders generated when risk-based
alarms are triggered.
Get Started 521
Define and Submit the Query 524
Constrain the Query Results 529
Evaluate the Solution 530
View What-if Risk in the IB Risk NavigatorSM 531
Get Started
The Option Portfolio window runs off a sophisticated back-end algorithm that mathematically
optimizes an options portfolio using the defining criteria and constraints that you enter via
TWSalong with relevant economic criteria.
To open the Option Portfolio window
1. Select an underlying US stock or index on a trading page.
2. From the Trading Toolsmenu select Option Portfolio.
If you dont see Option Portfolio in the tools list, expand the hidden items using the arrow at the
bottom of the menu.
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Chapter4 Get Started
The Option Portfolio window opens and youre ready to define the query. To add a tab with
another underlying to the Option Portfolio window, click the New Tab "+" icon.
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Chapter4 Get Started
The Option Portfolio algorithm works within the user-defined query constraints, and evaluates
the comprehensive options market data (including bid and ask price and size) to minimizethe
sum of the following, and find the lowest cost solution:
Cost to execute, as represented by the bid/ask spread for each option in the Query Results
list, specifically:
(ask - bid) x (contract multiplier) x quantity
summed over all orders in the Query Results list;
Commission charged to fully execute all orders in the Query Results list;
Cost to hold the Query Results list for a given period of time. This term is only relevant
when the Hold untildate is set to a value other then the current date. In this event, the hold-
ing cost is calculated as:
[(option value on hold until date) - (solution order price for
TWS Guide 523
Chapter4 Define and Submit the Query
the option)] x (contract multiplier) x (signed quantity)
summed over all orders in the Query Results list.
The algorithm continues to work and reevaluates the solution in the Query Results list every 30
seconds until the user submits the order group for execution, freezes the updates to evaluate
the solution in more detail, or changes the query criteria.
Next: Define and Submit the Query
Define and Submit the Query
Define the query by entering the quantity of the risk dimension you wish to acquire, and setting
optional specifications such as time slicing and randomization, last trading day and strike
range, and an underlying reference price range and Hold untildate. You can also elect to create
a Reference Portfolioand have the Option Portfolio query an optional portfolio with the same or
better P&L.
To define a query
1. Select the desired objective, i.e. Acquire 2000 Delta...
2. For the greeks, enter the position quantity youd like to acquire.
The position quantity is equal to:
greek value x position x multiplier
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Chapter4 Define and Submit the Query
For example, 20 long call options with a delta of .4989 would show a position Delta of
approximately 1000. The position Delta calculation is:
.4989 x 20 x 100 = 997.8
3. Define any optional query parameters.
Parameter Description
Time- Select this option to acquire the total objective in
sliced smaller increments, with orders being submitted at
orders user-defined time intervals of seconds, hours or
minutes.
Randomize When you check the Randomize timecheckbox, the
time period Option Portfolio randomly changes the user-defined
by +/- 20% time interval by any value up to as much as 20% in
either direction.
For example, an order with a time interval of 30
seconds might randomly be submitted at varying
intervals of 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34
TWS Guide 525
Chapter4 Define and Submit the Query
35, 36 seconds.
Randomize When you check the Randomize size checkbox, the
size by +/- Option Portfolio randomly changes the user-defined
55% size increment by any value up to as much as 55% in
either direction.
For example, an order using increments of 500 might
randomly return orders with an objective anywhere
from 275 up to 775.
Range of Select the last trading day(s) you are willing to trade.
Last
Trading
Days
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Chapter4 Define and Submit the Query
Strike Select the range of strikes you are willing to trade.
Range
Reference
Price
TWS Guide 527
Chapter4 Define and Submit the Query
By default, the midpoint of the bid/ask of the
underlying price is used to calculate the objective.
Enter a reference price if you prefer to use a value
other than the midpoint of the underlying price. Note
that an alternate reference price cannot be used if the
Price betweenconstraint is used.
Hold until Enter a date if you want to hold the solution in the
Query Results list until a specific date.
Long/Short Checked by default. Constrains the solution to only
options include long or short option trades, as appropriate.
only For example, when buying or selling Delta, long
options would be more appropriate to avoid the risk
of being short options. The text will change based on
the objective and signed quantity. When requesting
short gamma, short vega or long theta, the text will
TWS Guide 528
Chapter4 Constrain the Query Results
read short options only.
Allow Check to allow a stock leg in the proposed solution
underlying list.
leg
4. Add other constraints if needed (see Constrain the Query Results).
5. Submit the query by clicking the Submit Querybutton.
Next: Constrain the Query Results
Constrain the Query Results
Option Portfolio allows you to constrain the query results in the risk dimensions other than the
objective dimension. So, if your goal is to achieve a specific Gamma position, you will be able
to constrain the resulting Delta, Vega and Theta. The algorithm imposes the following default
constraints:
C o n s t r a i n t s
O Delta Gamma Vega Theta
b Delta >0 >0
TWS Guide 529
Chapter4 Evaluate the Solution
t Gamma =0
i
v Vega =0
e
Theta =0
For example, the default Delta constraint ensures that the Gamma and Vega of the Query
Results solution are positive.
To override the system defaults, enter a value in one or multiple input fields and click Submit
Query.
Next: Evaluate the Solution
Evaluate the Solution
Freeze updates to the query to evaluate the solution, and use the IB Risk NavigatorSMto see
how implementing the option portfolio will affect your current risk profile.
To stop the algorithm from updating results
1. Click Freeze Updatesto keep the algorithm from reevaluating and displaying new solu-
tions.
Note that the data will continue to tick but the Query List will remain unchanged.
TWS Guide 530
Chapter4 View What-if Risk in the IB Risk NavigatorSM
Next Step: View What-if Risk in the IB Risk NavigatorSM
View What-if Risk in the IB Risk NavigatorSM
You can view the risk summary for the proposed Option Portfolio solution list in the IB Risk
Navigator, and add your existing portfolio to the What-if to see how acquired Greek risk
dimension will affect your existing risk profile.
The above image is querying for a basket of trades to acquire 6,000 delta. We have elected to
Freeze updates to the solution list and open the proposed list in the IB Risk Navigator. We click
the Risk Navigator button, and within seconds the solution list opens in its own What-if Portfolio
window, shown below:
TWS Guide 531
Chapter4 View What-if Risk in the IB Risk NavigatorSM
To view the solution list in Risk Navigator
1. Click the Risk Navigatorbutton to open a What-if scenario that contains the Query Res-
ults list.
TheWhat-if is indicated by a red border around the portfolio, and is named Option
Portfolio.
2. Select any Report or Measure to see the isolated risk profile for the list.
You can also view the proposed solution list integrated with your current portfolio risk profile.
Simply add your portfolio to the What-if scenario from the Option Portfolio.
TWS Guide 532
Chapter4 View What-if Risk in the IB Risk NavigatorSM
To add your portfolio to the What-if scenario
1. From the Edit menu of the IB Risk Navigator, select Add From.
2. Your actual portfolio, named My Portfolio, is the default selection. Click OK.If you have cre-
ated other portfolios, you may select another from the list.
3. The positions in your portfolio are added to the What-if scenario from the Option Portfolio
solution list.
Below you can see the What-if portfolio outlined in red, and below, your actual portfolio. The
highlighted positions are common to both, but distinct at this point.
TWS Guide 533
Chapter4 View What-if Risk in the IB Risk NavigatorSM
After you elect to Add your portfolio, the two sets of positions are summed in the new, integrated
What-if Portfolio, shown below.
TWS Guide 534
Chapter4 ScaleTrader
ScaleTrader
The ScaleTrader can help prevent increasingly deteriorating prices on large sized orders.
Choose to create a simple scale order, a pair trade, or a multi-leg combo.
About ScaleTrader 536
Basic Scale Orders 538
Example 1: Basic Scale Order 541
Basic Scale with Profit Orders 542
Example 2: Scale order with Profit-Taking Orders 545
Scale Profit Orders with Initial Component 547
TWS Guide 535
Chapter4 About ScaleTrader
Example 3: Scale with Profit and Initial Component size 551
Scale Profit with Restore Size 553
Example 4: Scale order with Restore Size 556
Example 5: Restart ScaleTrader 558
Example 6: Restart ScaleTrader with Filled Initial Component Size 559
ScaleTrader for Pairs 560
Use the ScaleChart 562
View Scale Progress 564
Scale Order Examples 565
Combo Orders 566
ScaleTrader Summary 567
About ScaleTrader
ScaleTrader is a flexible trading tool that implements a sophisticated trading algorithm, allowing
you to scale into a large position without being subject to increasingly deteriorating prices, or to
trade continually over a specified price range to capture a user-defined profit offset amount.
ScaleTrader supports all products traded at IB except Mutual Funds.
TWS Guide 536
Chapter4 ScaleTrader Summary and Status
ScaleTrader Summary and Status
Below the Scale chart, the Summary and Status sections give you more information on the
current scale order.
TWS Guide 537
Chapter4 Basic Scale Orders
The Summaryshows the number of price levels in your scale, the average price of the total
order, the amount, and the range of the scale between the top and bottom prices.
The Statusdisplays the displays the size of your filled position, and shows the latest Buy price
and Sell price working for the active scale order.
Use the Start and Stop buttons to start and stop the algo. Use Dismiss to close the ScaleTrader.
Basic Scale Orders
ScaleTrader provides many add ons that allow you to customize your order based on your
trading strategy. A basic scale order might involve simply scaling into or out of a position, with
or without a profit trade.
TWS Guide 538
Chapter4 Basic Scale Orders
To create a basic scale order
Select the action, Buy or Sell.
TWS Guide 539
Chapter4 Basic Scale Orders
Maximum Position - Enter the total order size. Note that this value refers only to the position for
this algo order. It does not take into account or affect any current position in the underlying that
you may hold.
Initial Component Size - The initial component size refers to the number of units that will be
submitted at the starting price, and is used in determining the number of components and price
levels needed to achieve the Maximum Position. The component size must be entered in round
lots.
If you do not enter a value in the Subsequent Comp. Size field, this value will be used for both
initial and subsequent components
Subsequent Comp. Size - The number of units that will be submitted at subsequent price
levels. Must be entered in round lots.
Starting Price - The price at which the initial component will be submitted. The starting price
defaults to the ask, but can be changed directly in the field or by dragging the blue line in the
scale chart.
Price Increment - Used to define the price levels for each scale component. The increment will
be subtracted from the last price level for a buy order, and added to the last price level for a sell
order.
The number of components along with the Starting Price and Price Increment are used to
calculate the Bottom Price, which is the lowest price at which any of the order components will
be submitted. If you change the Bottom Price, the Price Increment is recalculated.
For an example of how a basic scale order like this one will behave, see Example 1: Basic
Scale Order.
To view the progress of your scale order, use the View Scale Progress feature.
TWS Guide 540
Chapter4 Example 1: Basic Scale Order
Example 1: Basic Scale Order
Data Assumptions:
Label Value
TWS Guide 541
Chapter4 Basic Scale with Profit Orders
NBBO $26.31 - $26.32
Action Buy
Total Order Size 10,000
Initial/Subsequent 400
Component Size
Starting Price $26.28
Price Increment .02
Order Type Limit
Time in Force GTC (this is set on the Basic
tab of the order ticket)
This is an order to buy 10000 shares scaled into 25 components of 400 shares each.
The first 400 share component is submitted as a buy limit order at the Starting Price of $26.28.
When the complete order fills, the next component of 400 shares is submitted at $26.26 (starting
price - price increment).
If price movement results in this order becoming unmarketable, the remainder of the order is
held.
Once the price level fills, the next component for 400 shares is submitted at $26.26 (last filled
price level - price increment).
This pattern continues until all components have filled, or you cancel the order.
Basic Scale Orders topic.
Basic Scale with Profit Orders
ScaleTrader provides many add ons that allow you to customize your order based on your
trading strategy. A basic scale order might involve simply scaling into or out of a position, with
TWS Guide 542
Chapter4 Basic Scale with Profit Orders
or without a profit trade. The Profit taking orders are submitted against a filled order component
at a specific price level, where the price is calculated using the component price level +/- the
defined profit offset.
To create a basic scale with profit orders
TWS Guide 543
Chapter4 Basic Scale with Profit Orders
Select the action, Buy or Sell.
Maximum Position - Enter the total order size. Note that this value refers only to the position for
this algo order. It does not take into account or affect any current position in the underlying that
you may hold.
Initial Component Size - The initial component size refers to the number of units that will be
submitted at the starting price, and is used in determining the number of components and price
levels needed to achieve the Maximum Position. The component size must be entered in round
lots.
If you do not enter a value in the Subsequent Comp. Size field, this value will be used for both
initial and subsequent components
Subsequent Comp. Size - The number of units that will be submitted at subsequent price
levels. Must be entered in round lots.
Randomize Size - Check to help ensure the components are not easily detected in the market.
Resulting component sizes will be plus or minus 55 percent rounded up or down to the nearest
round lot. For a 400 component size, submitted sizes could be 200, 300, 400, 500 or 600.
The Randomize feature cannot be used with profit taker orders.
Starting Price - The price at which the initial component will be submitted. The starting price
defaults to the ask, but can be changed directly in the field or by dragging the blue line in the
scale chart.
Price Increment - Used to define the price levels for each scale component. The increment will
be subtracted from the last price level for a buy order, and added to the last price level for a sell
order.
The number of components along with the Starting Price and Price Increment are used to
calculate the Bottom Price, which is the lowest price at which any of the order components will
be submitted. If you change the Bottom Price, the Price Increment is recalculated.
Check Create profit taking orderand enter a profit offset amount.
TWS Guide 544
Chapter4 Example 2: Scale order with Profit-Taking Orders
For an example of how a basic scale order like this one will behave, see Example 2: Scale
order with Profit-Taking Orders.
Example 2: Scale order with Profit-Taking Orders
Data Assumptions:
TWS Guide 545
Chapter4 Example 2: Scale order with Profit-Taking Orders
Label Value
NBBO $26.31 - $26.32
Action Buy
Total Order Size 10,000
Initial/Subsequent 400
Component Size
Starting Price $26.28
Price Increment .02
Order Type Limit
Time in Force GTC (this is set on the Basic
tab of the order ticket)
Create profit taking Check to enable
order
Profit Offset 0.20
Like example 1, this is an order to buy 10000 shares scaled into 25 components of 400 shares
each. In addition, we have instructed TWS to submit profit-taking sell orders against each order
component, with a .20 profit offset. This means the profit orders will be submitted at the last filled
price level plus the .20 cent offset.
The first 400 share component is submitted as a buy limit order at the Starting Price of $26.28.
When the component order fills two things happen. The next component of 400 shares is
submitted at $26.26 (component price - price increment), and a sell order is submitted for 400
shares at $26.48 (component price + profit offset).
TWS Guide 546
Chapter4 Scale Profit Orders with Initial Component
When the $26.26 price level fills, a sell order for 400 shares at $26.46 (component price + profit
offset) is submitted. This pattern continues until all components have filled, or you cancel the
order.
The order will be held if any parent component becomes unmarketable, but the profit orders can
continue to work without holding up the order.
Basic Scale with Profit Orders topic.
Scale Profit Orders with Initial Component
ScaleTrader provides many add ons that allow you to customize your order based on your
trading strategy. A basic scale order might involve simply scaling into or out of a position, with
or without a profit trade. The Profit taking orders are submitted against a filled order component
at a specific price level, where the price is calculated using the component price level +/- the
defined profit offset. If you use a higher Initial Component size, the profit orders are submitted
against a component size AS IF the components were submitted at the Starting Price + Price
Increment.
TWS Guide 547
Chapter4 Scale Profit Orders with Initial Component
To create a scale profit order with Initial Component
Select the action, Buy or Sell.
TWS Guide 548
Chapter4 Scale Profit Orders with Initial Component
Maximum Position - Enter the total order size. Note that this value refers only to the position for
this algo order. It does not take into account or affect any current position in the underlying that
you may hold.
Initial Component Size - The initial component size refers to the number of units that will be
submitted at the starting price, and is used in determining the number of components and price
levels needed to achieve the Maximum Position. The component size must be entered in round
lots.
If you do not enter a value in the Subsequent Comp. Size field, this value will be used for both
initial and subsequent components
Subsequent Comp. Size - The number of units that will be submitted at subsequent price
levels. Must be entered in round lots.
Randomize Size - Check to help ensure the components are not easily detected in the market.
Resulting component sizes will be plus or minus 55 percent rounded up or down to the nearest
round lot. For a 400 component size, submitted sizes could be 200, 300, 400, 500 or 600.
Starting Price - The price at which the initial component will be submitted. The starting price
defaults to the ask, but can be changed directly in the field or by dragging the blue line in the
scale chart.
Price Increment - Used to define the price levels for each scale component. The increment will
be subtracted from the last price level for a buy order, and added to the last price level for a sell
order.
The number of components along with the Starting Price and Price Increment are used to
calculate the Bottom Price, which is the lowest price at which any of the order components will
be submitted. If you change the Bottom Price, the Price Increment is recalculated.
Check Create profit taking order, and enter the profit offset.
Once the price increment has been entered, the Top Price is calculated, and will be higher than
the starting price by the price increment times the number of component sizes higher the initial
price is compared to the subsequent component size. in the above example, the initial size is
TWS Guide 549
Chapter4 Scale Profit Orders with Initial Component
one component size larger than the subsequent size, so the calculation is 1 x .02 = .02. The top
price will be .02 (or one price increment) higher than the starting price.
For an example of how a scale profit order with a larger initial component will behave, see
Example 3: Scale with Profit and Initial Component size.
TWS Guide 550
Chapter4 Example 3: Scale with Profit and Initial Component
size
Example 3: Scale with Profit and Initial Component size
Data Assumptions:
Label Value
TWS Guide 551
Chapter4 Example 3: Scale with Profit and Initial Component
size
NBBO $26.31 - $26.32
Action Buy
Total Order Size 10,000
Initial Component 800
Size
Subsequent Com- 400
ponent Size
Starting Price $26.28
Price Increment .02
Order Type Limit
Time in Force GTC (this is set on the Basic tab
of the order ticket)
Create profit taking Check to enable
order
Profit Offset 0.20
The difference between this order and the order in Example 2 is that the Initial Component Size
is larger than the subsequent component size by one full size. This feature works in conjunction
with the profit taking orders, which we have enabled at an offset of $.20.
To understand the larger initial component, lets first look at the mechanics of using the same
component size of 400 with the $.02 profit offset. In this case, a BUY order would be submitted
at the starting price of $26.28 and after it fills, the profit SELL order would be submitted at the
component price + profit offset, or $26.48. When this fills, you have bought at $26.28 and sold at
$26.48 for a profit of $.20 per share.
TWS Guide 552
Chapter4 Scale Profit with Restore Size
Now lets look at the example above with the Initial Component of 800. TWS submits the first
component as a BUY order for 800 at the Starting Price, or $26.28. But when this fills, the profit
sell orders are submitted in Subsequent Component-sized lots AS IF the 800 shares were sent
in as two BUY orders at $26.28 and $26.26, right up to the non-editable Top Price. So two sell
orders for 400 shares each are submitted for $26.48 and $26.46. Once these fill, the subsequent
400-share components kick in for the remainder of the 10000-share order.
Scale Profit Orders with Initial Component topic.
Scale Profit with Restore Size
ScaleTrader provides many add ons that allow you to customize your order based on your
trading strategy. If you elect to Restore size after taking profit, the algo will restore the size
component at the last filled price level once the associated profit order has filled.
TWS Guide 553
Chapter4 Scale Profit with Restore Size
To create a scale profit order with Restore Size
Select the action, Buy or Sell.
TWS Guide 554
Chapter4 Scale Profit with Restore Size
Maximum Position - Enter the total order size. Note that this value refers only to the position for
this algo order. It does not take into account or affect any current position in the underlying that
you may hold.
Initial Component Size - The initial component size refers to the number of units that will be
submitted at the starting price, and is used in determining the number of components and price
levels needed to achieve the Maximum Position. The component size must be entered in round
lots.
If you do not enter a value in the Subsequent Comp. Size field, this value will be used for both
initial and subsequent components
Subsequent Comp. Size - The number of units that will be submitted at subsequent price
levels. Must be entered in round lots.
Randomize Size - Check to help ensure the components are not easily detected in the market.
Resulting component sizes will be plus or minus 55 percent rounded up or down to the nearest
round lot. For a 400 component size, submitted sizes could be 200, 300, 400, 500 or 600.
Starting Price - The price at which the initial component will be submitted. The starting price
defaults to the ask, but can be changed directly in the field or by dragging the blue line in the
scale chart.
Price Increment - Used to define the price levels for each scale component. The increment will
be subtracted from the last price level for a buy order, and added to the last price level for a sell
order.
The number of components along with the Starting Price and Price Increment are used to
calculate the Bottom Price, which is the lowest price at which any of the order components will
be submitted. If you change the Bottom Price, the Price Increment is recalculated.
Check Create profit taking order and enter a profit offset amount.
Check Restore size after taking profit.
For an example of how the Restore size scale feature will behave, see Example 4: Scale order
with Restore Size.
TWS Guide 555
Chapter4 Example 4: Scale order with Restore Size
Example 4: Scale order with Restore Size
Data Assumptions:
Label Value
TWS Guide 556
Chapter4 Example 4: Scale order with Restore Size
NBBO $26.31 - $26.32
Action Buy
Total Order Size 10,000
Initial/Subsequent 400
Component Size
Starting Price $26.28
Price Increment .02
Order Type Limit
Time in Force GTC (this is set on the Basic
tab of the order ticket)
Create profit taking Check to enable
order
Profit Offset 0.20
Restore size after tak- Check to enable
ing profit
The Restore Size feature restores the component size at a specific price level after the opposite
side order for the price level fills.
In this example, the order is scaled into 25 components of 400 shares each.
The first 400-share component is submitted at $26.28. After this level fills, the next limit order for
400 is submitted at $26.26, and at the same time an opposite-side profit order is submitted for
400 at $26.48 (component price + profit offset).
Once the sell order fills at $26.48 taking the profit, the filled quantity of 400 is put back in to the
original order at its same price level of $26.28, and the $26.26 price level component is
canceled.
TWS Guide 557
Chapter4 Example 5: Restart ScaleTrader
When using the Restore size feature, you may want to consider making the profit offset closer to
the price increment to help ensure the orders fill.
Scale Profit with Restore Size topic.
Example 5: Restart ScaleTrader
Data Assumptions:
Label Value
NBBO $10.12 - $10.15
Action Buy
Total Order Size 1000
Initial Component 100
Size
Subsequent 100
Component Size
Starting Price $10.10
Price Increment .02
Order Type Limit
Time in Force GTC (this is set on the Basic tab
of the order ticket)
Create profit taking Enabled
order
Profit Offset .03
Restore size after Enabled
taking profit
TWS Guide 558
Chapter4 Example 6: Restart ScaleTrader with Filled Initial
Component Size
Restart Enabled
ScaleTrader
Initial Position 200
The Restartfeature helps you resume a busted ScaleTrader order from the point of the bust. A
bust results in a lost connection between the scale and profit order processes, leaving two
independent scaled orders. You can cancel these orders and create a new ScaleTrader
Restartorder.
The Existing Position value of 200 tells ScaleTrader that two of the components have filled, at
$10.10 and $10.08, respectively. It "restarts" the scale order beginning with the 3rd component.
The first buy order is for 100, and is submitted at $10.06. The profit-taker orders are set up for all
three components, 100 at $10.13, 100 at $10.11, and 100 at $10.09, which are submitted. When
the sell order for 10.13 fills, the size is restored at the 10.10 price level.
The Existing Position feature is only available if the profit-taking order and Restore Size
instructions are used.
Example 6: Restart ScaleTrader with Filled Initial Component Size
A busted scale order results in a lost connection between the scale and profit order processes,
leaving only two independent scaled orders. The Restartinstruction is designed to help you
resume a cancelled or busted ScaleTrader order, starting from the point at which the scaled
sequence left off. First, cancel the two separated scale orders. Next, create a new ScaleTrader
Restartorder by identifying your current position and telling ScaleTrader how much of the initial
component size filled in the busted order. ScaleTrader will restart the order at the appropriate
component and price level.
Note: Note: The Filled Initial Component Sizefield only becomes active if the Existing
Positionvalue is less than the Initial Component Size.
Profit Offset: $0.02
Restore Size after taking profit: box checked on Order Ticket Scale tab
TWS Guide 559
Chapter4 ScaleTrader for Pairs
Restart ScaleTrader: box checked on Order Ticket Scale tab
Existing Position value: 500
Filled Initial Component Size:1200 (this value must be greater thanor equal tothe Existing
Positionvalue, up to a maximum of the Initial Component Size).
The Filled Initial Component Size of 1200 tells ScaleTrader that there is an unfilled quantity of
800 (of the 2000 Initial Component Size). The first buy order for 800 is submitted at $10.15, and
profit-taker orders of 1000 and 200 are set at $10.17 and $10.18, respectively.
Activate the Restart ScaleTraderinstruction using the checkbox on the Scale tab of theOrder
Ticket. This feature is only available if the profit-taking order and Restore Size instruction is
used, and if the value in the Existing Position field is less than the Initial component size.
ScaleTrader for Pairs
A pair trade involves trading two stocks simultaneously, buying one and selling the other at
predefined price differences. Usually, the two stocks selected have displayed a close price
relationship in the past, or the relationship is dictated by fundamentals. When this relationship
approaches a certain, extreme level, a position is established in which the relatively overvalued
stock is sold short and the other one is bought for approximately equal dollar values. It is
expected that eventually the relationship will return to a normal level, at which time the position
is unwound at a profit.
TWS Guide 560
Chapter4 ScaleTrader for Pairs
Stock-stock pair combinations can only be traded as non-guaranteed. To help increase the
chances that both legs will fill, stock-stock scale pairs can only be sent as:
TWS Guide 561
Chapter4 Use the ScaleChart
LMT + MKT, where one or both legs are submitted as marketable limit orders when the
combo becomes marketable. If only one leg fills, the second leg is resubmitted as a market
order.
REL + MKT, where one or both of the legs are submitted as simulated relative orders (at the
bid for a buy and at the ask for a sell). If only one leg fills, the second leg is resubmitted as a
market order.
To create a scale stock pair trade based on price difference
Open the ScaleTrader.
From within Mosaic, use the New Window dropdown and select More Advanced
Tools and then ScaleTrader.
From within the Advanced Order Management quote monitor, use the Trading Tools
menu.
Select the Pair tab and click the Edit Pair button.
Create tickers for each of the stock-stock pair:
Enter the higher priced of the pair in the Buy line.
Enter the lower priced (but relatively overvalued) of the pair in the Sell line.
Choose price difference and click Create.
At this point you will be required to acknowledge that the combo is non-guaranteed.
The scale chart shows the price difference between the two contracts over time. The starting
price illustrates the beginning level of price difference between the two contracts at which you
want to submit an order.
Use the ScaleChart
The ScaleChart provides a visual method of modify the scale prices. Use the lines and handles
in the chart to set the Starting Price and bottom price and have TWS calculate the price
increment.
TWS Guide 562
Chapter4 Use the ScaleChart
To move the prices, grab a line in the chart.
When you move the blue Starting Price line, the other lines move in the same increment.
When you move the Bottom Price line, the Price Increment is recalculated since the dis-
tance between the starting and bottom prices have changed. If the Initial Component is
higher than the Subsequent Component size, the Top Price is also recalculated.
TWS Guide 563
Chapter4 View Scale Progress
If you move the top price, the Initial Component Size, Price Increment and Bottom Size are
all recalculated.
View Scale Progress
You can monitor the progress of your scale orders using the Scale Progressbox.
To View Scale Progress
Right-click the scale order line and select View Scale Progress.
The Scale Progress Box
The Scale Progressbox displays the complete scale price ladder, the Open/Filled component
list for the parent scale order, and the Open/Filled component list for the child profit orders.
TWS Guide 564
Chapter4 Scale Order Examples
Scale Order Examples
The data assumptions in the table below are repeated for all examples, with other variables
described as needed. These examples do not encompass all of the potential algorithmic results
that would occur on partially filled component levels.
Example 1: Basic Scale Order
Example 2: Scale order with Profit-Taking Orders
Example 3: Scale with Profit and Initial Component size
Example 4: Scale order with Restore Size
Example 5: Restart ScaleTrader
Example 6: Restart ScaleTrader with Filled Initial Component Size
TWS Guide 565
Chapter4 Combo Orders
Combo Orders
When using ScaleTrader for creating generic combination orders, note the following:
When you create a STK STK generic combo, the ratios are automatically simplified when
you save the combo. This means that the combo you define in the Combo Selection box to
Buy 300 XYZ and sell 700 ABC ends up on the ticker line as Buy 3 XYZ and Sell 7 ABC.
Scale parameters such as Total Order Sizeand Initialand Subsequent Component sizes
are expressed in terms of the total combo. For example, if you buy a generic STK STK
combo defined as Buy 10 DELL, Sell 1 IBM, and set the Initial Component Size to 5, the first
component order would be: Buy (5 x 10) DELL, Sell (5 x 1) IBM.
Guaranteed combination pairs including US stock-option and option-option pairs, and which
can be traded from the Combo tab, can use the following order types:
TWS Guide 566
Chapter4 ScaleTrader Summary
LMT + LMT, where one or both legs are submitted as marketable limit orders when the
combo becomes marketable. If one fills, the other is resubmitted as a limit order.
REL + LMT, where one or both of the legs are submitted as a simulated relative order (at the
bid for a buy and at the ask for a sell). If only one leg fills, the second leg is resubmitted as a
limit order.
LMT + MKT, where one or both legs are submitted as marketable limit orders when the
combo becomes marketable. If only one leg fills, the second leg is resubmitted as a market
order.
REL + MKT,where one or both of the legs are submitted as a simulated relative order (at the
bid for a buy and at the ask for a sell). If only one leg fills, the second leg is resubmitted as a
market order.
Use ScaleTrader for combination orders
1. Click the Combo tab in ScaleTrader.
2. If you opened ScaleTrader with an underlying selected, click the Edit Combo button; oth-
erwise, enter an underlying and select from the combo type, including EFP, Futures
Spread or Option Combo.
3. Use the ComboTraderbox to define a strategy, and click Create.
You can monitor the progress of your scale orders by right-clicking on the order line and
selecting View Scale Progress.
ScaleTrader Summary
Use the Scale Summary page to view real-time status of your scale orders, including filled and
total quantity, filled, remaining, and total value, and the percent filled for each scale. The Scale
Summary is a system-generated page with its own layout.
TWS Guide 567
Chapter4 ScaleTrader Summary
To create a Scale Summary
1. Use the right-click menu fromAdd Tab indicator and select ScaleTrader.
TWS Guide 568
Chapter4 ScaleTrader Summary
TWS Guide 569
5
Order Types
Discover more than 60 different order types including basic and advanced orders, algos,
attributes and times in force.
Basic Order Types
Limit 570
Limit if Touched 572
Limit-On-Close 573
Market 573
Market if Touched 574
Market-On-Close 575
Market-to-Limit 576
Stop 577
Stop Limit 578
VWAP 579
Limit
A limit order is an order to buy or sell a contract ONLY at the specified price or better.
To create a Limit order
Populate the Order Entry panel by selecting an instrument in a linked window or typing the
symbol in the entry box.
Click Buy or Sell.
Select LMT from the list of order types, and enter a limit price.
TWS Guide 570
Chapter5 Limit
Click Submit to send the order.
From within the Classic Interface:
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Type field select LMT as the order type.
3. In the Lmt Price field, enter the price at which you want the order to execute.
4. To transmit the order, click the "T" in the Status field.
For a more detailed description of limit orders and the products and exchanges on which they're
supported, visit the Order Types information page.
Short Video
TWS Guide 571
Chapter5 Limit if Touched
Limit if Touched
A limit if touched order is designed to buy (or sell) a contract below (or above) the market, at the
limit price or better. The Aux. Price value is the trigger to submit the limit order at the specified
limit price.
To create a Limit if Touched order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Type field select LIT as the order type.
3. In the Lmt Price field, enter the price at which you want the order to execute.
4. In the Aux. Price field, enter the "touched" price to trigger the order.
5. To transmit the order, click the "T" in the Status field.
For a more detailed description of Limit if Touched orders and the products and exchanges on
which they're supported, visit the Order Types information page.
TWS Guide 572
Chapter5 Limit-On-Close
Limit-On-Close
An LOC (limit-on-close) order will fill at the closing price if that price is at or better than the
submitted limit price. Otherwise, the order will be canceled.
To create an LOC order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield, select LOC as the order type.
3. To transmit the order, click the "T" in the Status field.
For a more detailed description of LOC orders, visit the Order Types information page.
Market
A market order is an order to buy or sell an asset at the bid or offer price currently available in
the marketplace. When you submit a market order, you have no guarantee that the order will
execute at any specific price.
To create a Market order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Type field select MKT as the order type.
3. To transmit the order, click the "T" in the Status field.
TWS Guide 573
Chapter5 Market if Touched
For a more detailed description of market orders, visit the Order Types information page.
Market if Touched
A market if touched order is designed to buy (or sell) a contract when the market goes below (or
above) the current price. The Aux. Price value is the trigger to submit the market order.
To create a Market if Touched order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Type field select MIT as the order type.
3. In the Aux. Price field, enter the "touched" price to trigger the order.
4. To transmit the order, click the "T" in the Status field.
TWS Guide 574
Chapter5 Market-On-Close
For a more detailed description of Market if Touched orders visit the Order Types information
page.
Market-On-Close
An MOC (market-on-close) order will execute as a market order as close to the closing price as
possible.
To create an MOC order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield, select MOC as the order type.
3. To transmit the order, click the "T" in the Status field.
TWS Guide 575
Chapter5 Market-to-Limit
For a more detailed description of MOC orders, visit the Order Types information page.
Market-to-Limit
A market-to-limit order is sent in as a market order to execute at the current best price. If the
entire order does not immediately execute at the market price, the remainder of the order is re-
submitted as a limit order with the limit price set to the price at which the market order portion of
the order executed.
To create a market-to-limit order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield select MTL as the order type.
3. To transmit the order, click the "T" in the Status field.
TWS Guide 576
Chapter5 Stop
For a more detailed description of market-to-limit orders, visit the Order Types information page.
Stop
A Stop order becomes a market order to buy or sell securities or commodities once the
specified stop price is attained or penetrated. A Stop order is not guaranteed a specific
execution price.
To create a Stop order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield select STP as the order type.
3. Enter the Stop Election price in the Aux. Price field.
4. To transmit the order, click the "T" in the Status field.
TWS Guide 577
Chapter5 Stop Limit
For a more detailed description of stop orders, visit the Order Types information page.
Stop Limit
A Stop Limit order is similar to a stop order in that a stop price will activate the order. However,
unlike the stop order, which is submitted as a market order when elected, the stop limitorder is
submitted as a limit order. Use the Lmt Priceand Aux. Pricefields on the trading screen to
enter orders requiring multiple prices or values.
To enter a Stop Limit order
1. Click in the Ask Pricefield to initiate a BUY order, or the Bid Pricefield to initiate a SELL
order.
2. Click in the Typefield and select STP LMT as the order type.
3. Enter the Limit price in the Lmt Price field.
4. Enter the Stop Election price in the Aux. Price field.
Note: You can enable the system to automatically adjust the limit price if you change the
stop price. To activate this feature, on the Editmenu select Global Configuration and
then select Order in the left pane.Check Auto-adjust limit price for STP LMT and LIT
TWS Guide 578
Chapter5 VWAP
orders. The limit price will move based on the offset implied when you set the original
limit and stop election prices.
For a more detailed description of stop limit orders, visit the Order Typesinformation page.
VWAP
VWAP (Volume-Weighted Average Price) orders are supported for large cap securities only.
You can also use the non-guaranteed VWAP Algo.
To create a VWAP order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield select VWAP as the order type.
3. If desired, change the VWAP cut-off time using the TIF field.
By default, the VWAP is computed from the soonest cut-off time to the market close. To change,
click the Time Entry calendar icon to select a new VWAP cut-off, or start, time. If none is
selected, the soonest cut-off is used. In addition, you can modify the end time of the calculation
using the Expiry Time field.
4. To transmit the order, click the "T" in the Status field.
TWS Guide 579
Chapter5 Advanced Order Types
Note: A transmitted VWAP order is accepted immediately and CANNOT BE
CANCELLED.
VWAP orders are automatically routed.
For a more detailed description of VWAP orders, visit the Order Types information page.
Advanced Order Types
Includes pegged, relative, trailing orders and more.
Auto Trailing Stop 581
Bracket 583
Box Top 584
Conditional 585
Funari Orders 587
IBDARK Orders 588
Iceberg/Reserve 589
Limit + Market 590
Market with Protection 591
Minimum Quantity 592
NYSEClosing Auction D-Quote 593
Passive Relative 594
Pegged-to-Market 596
Pegged to Midpoint 596
Pegged to Stock 597
Pegged to Benchmark 599
TWS Guide 580
Chapter5 Auto Trailing Stop
Price Improvement Auction 600
Relative/Pegged-to-Primary 602
Relative + Market 604
Retail Price Improvement Orders (RPI) 605
Snap to Market 606
Snap to Midpoint 607
Snap to Primary 608
Stop Order with Protection 609
T + 2 Stock Settlement 609
Trailing Stop 611
Trailing Stop Limit 612
Trailing Market if Touched 614
Trailing Limit if Touched 615
Trailing Limit + Market 616
Trailing Relative + Market 618
Auto Trailing Stop
You can attach a trailing stop order to a limit order. The attached trailing stop order is
automatically activated when the limit order is filled.
TWS Guide 581
Chapter5 Auto Trailing Stop
To attach an auto trailing stop
1. Right-click on a limit order and select Attach, then select Auto Trailing Stop.
To modify the trailing amount, change the value in the Aux. Pricefield.
To change the default trailing amount used to calculate the stop election price, use the Order >
Order Defaults page of Global Configuration.
2. When the limit order executes, the trailing stoporder is submitted. The stop election price
will be calculated using the (parent order limit price + trailing amount)for Buyorders, and
the (parent order limit price - trailing amount) for Sellorders.
The relationship between the parent and attached order can be seen in the Trailing Key field.
Related orders are assigned the same trailing key.
TWS Guide 582
Chapter5 Bracket
Bracket
Bracket orders are designed to limit your loss and lock in a profit by "bracketing" an order with
two opposite-side orders. A BUY order is bracketed by a high-side sell limit order and a low-
side sell stop (or stop-limit) order. A SELL order is bracketed by a high-side buy stop (or stop-
limit) order and a low side buy limit order.
The order quantity for the bracketing orders is the same as that of the original order. By default,
the amount off the current price to which a bracket order is set is 1.0. This offset amount can be
manually changed on the order management line for a specific order, or you can modify the
default offset amount using the Order Preset in Global Configuration.
In addition, if you display the OCA Groupfield on your order line, you will see that the two child
bracket orders are automatically put into an OCA group. This means that when one of the
orders executes, the other will automatically be cancelled.
When including bracket orders in a basket, display the Key field in the BasketTrader to see the
parent/child relationship between orders.
Note: If you attach a bracket to a working order, you will need to transmit the child orders
manually. However, the system does recognize that the parent and child orders are
designed to work as a bundled group, which you can see by the matching values in the
TWS Guide 583
Chapter5 Box Top
Trailing Key field if you display this field on your order line. If you attach a bracket to a
working order and modify the parent, when you re-transmit the parent order the children
are then transmitted automatically.
To create a Bracket order
1. Click the "Ask" or "Bid" price of an asset to create an Order Management line.
Click the Ask Priceto create a Buy order.
Click the Bid Priceto create a Sell order.
2. On the right-click menu, select Attach and then select Bracket Orders.
3. Verify that the order parameters are correct.
4. Transmit the order.
For more information on Bracket orders, visit the Order Typesinformation page.
Box Top
A BOX TOP order is sent in as a market order to execute at the current best price. If the entire
order does not immediately execute at the market price, the remainder of the order is re-
submitted as a limit order with the limit price set to the price at which the market order portion of
the order executed.
To create a BOX TOP order
TWS Guide 584
Chapter5 Conditional
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield select BOX TOP as the order type.
3. To transmit the order, click the "T" in the Status field.
Available for options routed to BOX.
For details on Box Top orders, visit the Order Types information page.
Conditional
A conditional order is an order that will automatically be submitted or cancelled ONLY IF
specified criteria for one or more defined contracts are met. You can use stocks, options, futures
or security indexes to trigger a conditional order.
TWS Guide 585
Chapter5 Conditional
To create a conditional order
1. Select an order line.
2. From the right-click menu, select Modify and then select Condition.
3. From the Conditional tab on the order ticket click Add Condition.
4. Enter contract information for the contingent asset in the Conditional Order box.
5. Enter the trigger information for the contingent asset:
Select the trigger method.
TWS Guide 586
Chapter5 Funari Orders
Select whether the price of the contingent asset should be less than or equal to (<=)
or greater than or equal to (>=) the trigger price.
Enter the trigger price.
If you select the double bid/ask trigger method, the greater than or equal to operator
(>=) will use the BID price and the less than or equal to operator (<=) will use the ASK
price.
6. Click OK. The condition appears in the Current Conditions list.
To set multiple conditions, use the Add Condition button and click AND or OR in the
Current Conditions area.
Field/Button Description
Add Condition Invokes the Conditional Order entry box.
Delete Deletes the selected condition.
Modify Opens the Conditional Order entry box for the
selected condition to allow you to make changes.
Allow Lets the selected condition activate the order if it is
condition to be satisfied outside of regular trading hours.
satisfied...
Action to take... If selected conditional order is satisfied, you can elect
to have the primary order submitted OR cancelled.
Funari Orders
A Funari order is submitted as limit order, with any remaining unfilled quantity resubmitted as a
Market-On-Close order at the end of trading.
TWS Guide 587
Chapter5 IBDARK Orders
To create a Funari order
1. Click in the Ask Pricefield to initiate a BUY order, or the Bid Pricefield to initiate a SELL
order.
2. In the Dest. field ensure that the destination is TSEJ.
3. Click in the Type field and select FUNARI as the order type.
4. Specify the limit price.
This order type is only available for stock orders direct-routed to the Tokyo Stock Exchange.
IBDARK Orders
Non-marketable U.S. stock orders routed to IBDARK are tagged "post only and are held in IB's
order book where incoming SmartRouted orders from other IB customers are eligible to trade
against them.
TWS Guide 588
Chapter5 Iceberg/Reserve
To route an order to IBDARK
From the market data line of a US Stock, click the Bid to create a SELL order or the Ask to
create a BUY order.
In the Destination field, select IBDARK.
Transmit the order.
For more information on how the IBDARK order works, see the IBDARK Order Type page.
Iceberg/Reserve
An Iceberg/Reserve order allows you to submit an order (generally a large volume order) while
publicly disclosing only a portion of the submitted order at a time.
To create an Iceberg/Reserve order
1. Show the Display Size field on an order management line:
Hold your mouse over any order row field until the "+" sign appears to the left of the
field title.
Click the "+" sign to invoke the order fields dropdown list.
In the Order Attributes list select Display Size .
TWS Guide 589
Chapter5 Limit + Market
2. On the trading screen, create an order (click the Ask Priceto create a BUY order, or the
Bid Price to create a Sell order).
3. In the Display Size field, enter the quantity that you want publicly disclosed.
For a more detailed description of iceberg/reserve orders visit the Order Types information
page.
Limit + Market
The LMT + MKT order type is available for certain multi-leg combinations, and when used with
a non-guaranteed combination order it could help to increase the chances of all legs in the
order being filled. Initially one or more legs are submitted as limit orders, but if the first leg fills or
partially fills, the remaining legs are resubmitted as market orders.
TWS Guide 590
Chapter5 Market with Protection
To create a combination Limit + Market order
1. Create a Combination Order line on the Quote Monitor.
2. Click the Bid or Ask to create a Sell or Buy order line.
3. From the Typedropdown, select LMT + MKT.
When you select LMT + MKT, the limit price field becomes inactive and the Trigger Price field
requires the combo price input.
Market with Protection
A Market with Protection order is sent in as a market order to execute at the current best price. If
the entire order does not immediately execute at the market price, the remainder of the order is
TWS Guide 591
Chapter5 Minimum Quantity
re-submitted as a limit order, with the limit price set by the exchange to a price slightly
higher/lower than the current best price.
To create a market with protection order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield select MKT PRT as the order type.
3. To transmit the order, click the red "T" in the Transmit field.
For a more detailed description of market with protection orders, visit the Order Types
information page.
Minimum Quantity
Use the Minimum Quantity order attribute to ensure that the minimum specified number of units
is filled for your order.
To create a Minimum Quantity order
1. Show the Min Quantity field: Hold your mouse over any field title until the "+" and "x"
Insert and Remove icons appear. Click the "+ " to display the list of available fields. Note
that if you hover your mouse over an order field, all available order fields are displayed. If
you hover over a market data field, all available market date fields are displayed.
TWS Guide 592
Chapter5 NYSEClosing Auction D-Quote
2. On the trading screen, create an order (click the Ask Priceto create a BUY order, or the
Bid Price to create a Sell order).
3. In the Min. Quantity field enter the minimum number of contracts that must be available for
any part of the order to execute.
Available for bonds and Smart-routed options orders.
NYSEClosing Auction D-Quote
The D-Quote order provides greater flexibility, execution speed and enhanced representation
during the NYSE closing auction.
To create a D-Quote order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Destination field, select NYSEFLOOR.
3. In the Typefield, select LMT or MKT as the order type.
Market orders will receive the closing print price.
Limit orders will receive the closing print price if the order is priced at or better than the clos-
ing auction price.
4. To transmit the order, click the "T" in the Status field.
TWS Guide 593
Chapter5 Passive Relative
For a more detailed description of D-Quote orders, visit the Order Types information page.
Passive Relative
The Passive Relative order submits a limit order at a less aggressive price than the National
Best Bid and Offer (NBBO). Your price is automatically adjusted when the market moves. For a
buy order, your bid is pegged to the NBB by a less aggressive offset amount*, and if the NBB
moves up, your bid will also move up. For sales, your offer is pegged to the NBO by a less
aggressive offset, and if the NBO moves down, your offer will also move down. In addition to the
offset, you can define an absolute cap, which works like a limit price, and will prevent your order
from being executed above or below a specified level.
For passive relative orders with a "0" offset, the order is submitted as a limit order at the best
bid/ask, and will move up and down with the market to continue to match the inside quote.
Note: If you have tooltips enabled, you can hold your mouse over the Limit price of the
relative order and see the current exchange price for that order.
*The offset is the amount that will be subtraced from the best bid (for a buy order) and added to
the best ask (for a sell order) to create the limit price at which the order will be submitted.
TWS Guide 594
Chapter5 Passive Relative
To enter a Passive Relative order
1. Click in the Ask Pricefield to initiate a BUY order, or the Bid Pricefield to initiate a SELL
order.
2. Click in the Type field and select PASSV REL as the order type.
3. Enter the offset amount in the Offset Pricefield, or set a percent using the Pct.
Offsetfield. If both fields have values the higher of the two will be used as the offset. To
display the Pct. Offset field, hold your mouse over the Offset Price field until the + and x
icons appear, and click the + icon. From the Prices category select Pct Offset.
For a more detailed description of Passive Relative orders, visit the Order Types information
page.
TWS Guide 595
Chapter5 Pegged-to-Market
Pegged-to-Market
Submit an aggressive order that is pegged to buy on the best offer and sell on the best bid.
To create a Pegged-to-Market order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Dest. field ensure that the destination is Island.
3. In the Type drop-down select PEG MKT.
4. If desired, modify the offset amount in the Aux. Price field.
5. To transmit, click the "T" in the Status field.
Available for stock orders direct routed to Island.
For a more detailed description of pegged-to-market orders, visit the Order Types information
page.
Pegged to Midpoint
Pegged to Midpoint orders seek to execute at the midpoint of the National Best Bid and Offer
(NBBO). The order price adjusts automatically to peg the midpoint if the market moves. If the
TWS Guide 596
Chapter5 Pegged to Stock
market moves in the opposite direction, the order will execute.
The limit price acts as a price cap to prevent your order from being executed above or below a
specified level.
To create a pegged to midpoint order
1. Click in the Ask Pricefield to initiate a BUY order, or the Bid Pricefield to initiate a SELL
order.
2. In the Dest. field ensure that the destination is Island.
3. Click in the Type field and select PEG MID as the order type.
This order type is only available for US Equity orders direct-routed to Island.
For a more detailed description of pegged to midpoint orders, visit the Order Types information
page.
Pegged to Stock
Sometimes referred to as Relative to Stock, a pegged to stock order specifies that the option
price will adjust automatically relative to the stock price, using a calculated value based on data
you enter.
Note: A Pegged to Stock order direct-routed to BOX puts you in BOX's Price
Improvement auction.
TWS Guide 597
Chapter5 Pegged to Stock
To create a Pegged to Stock order
1. Click the Askprice to create a BUY options order, or the Bidprice to create a SELL
options order.
2. Select PEG STK in the Typefield. Ensure that the supporting Peggedorder fields are vis-
ible.If you don't see PEG STK in the Type list, check to be sure that your option is routed
to SMART (or an exchange that supports this order type). This order type is only valid for
US Equity options.
3. In the Deltafield, enter an absolute value which will be used as a percent, eg. "5" equals
5%.
This percent value is signed positive for calls and negative for puts. This value is
multiplied by the change in the underlying stock price, and the product is added to the
starting price to determine the option price.
TWS Guide 598
Chapter5 Pegged to Benchmark
4. The Stock Reference Price used is the midpoint of the NBBO at the time of the order. You
can change this value if desired.
5. Define an optional high/low stock range if desired. If the stock price moves outside of the
range, your order will be canceled. Use the Underlying Range (High)and Underlying
Range (Low) fields.
6. The Starting Price for the option order is the midpoint of the option NBBO at the time of the
order. You can change this value if desired.
When you create a pegged to stock order using the Order Ticket, use the Basic tab to select the
order type and set the Starting price. Use the Pegged tab to set the Stock Ref. price, the high
and low underlying range limits, and the Delta value.
For more details and an example of a pegged-to-stock order, visit the Order Types information
page.
Pegged to Benchmark
Similar to a Pegged to Stock order, a Pegged to Benchmark order specifies that the order price
will adjust automatically relative to changes in the price of a user-specified reference asset. To
determine whether the reference asset price has changed, the system monitors changes to the
Last price for indexes, and changes to the Bid (for buy orders) and to the Ask (for sell orders).
TWS Guide 599
Chapter5 Price Improvement Auction
To create a Pegged to Benchmark order
From the Quote Monitor, click the Bid for SELL order, click the Ask for a BUY order.
From the Type field in an order line select PEG BENCH.
Within the inline algo parameters you can define the following fields:
With a starting price of: Enter the price for the current order. By default the starting price for
a Buy order = bid (at the time the order is created), for a Sell order = ask (at the time the
order is created).
Decrease price by/Increase price by: Specify an offset by which the price will increase/-
decrease in response to the same-direction movement in the price of the reference contract.
For every price decrease (or increase) of: Enter the reference contract price-change incre-
ment that will drive the increase/decrease of the order price.
in reference contract: Enter the underlying symbol for the reference contract.
Starting reference price is: You must enter a starting price for the reference contract. The
reference price is the current bid (for a buy order) and the current ask (for a sell order).
Order will be active only while reference price is between: If desired, set a defining
"valid" price range for the reference contract. If the price moves outside the defined range,
the order will be canceled.
Click Transmit to send the order.
For an example of using an All or None order, visit the Order Types information page.
Price Improvement Auction
For options routed through BOX, you may elect to participate in the Price Improvement Auction
to better your price.
To submit a Price Improvement Auction order
TWS Guide 600
Chapter5 Price Improvement Auction
1. Create an options order routed to BOX.
2. In the Typefield, select either LMT, REL, or PEG STK.
For Limit orders, enter the limit price in the Lmt. Price field in penny increments.
For Relative orders, set a relative offset amount (in penny increments) in the Aux.
Price field.
For PEG STK orders, you enter the starting price in the Aux. Pricefield, the delta in the
Deltafield, the optional stock reference price in the Stock Ref.Price field, the low side
of the optional stock range in the Underlying Range (Low)field, the high side of the
optional stock range in the Underlying Range (High)field. Use the Order Ticket, or dis-
play these fields from the Order Columns tab in page layout.
3. Transmit the order by clicking the "T" in the Status field.
For a more detailed description of box auction orders, visit the Order Types information page.
TWS Guide 601
Chapter5 Relative/Pegged-to-Primary
Relative/Pegged-to-Primary
The relative order provides a means for traders to seek a more aggressive price than the
National Best Bid and Offer (NBBO). By becoming liquidity providers, and placing bids or offers
into the book that are more aggressive than what is currently quoted, traders increase their odds
of execution. Quotes are automatically adjusted when other market participants become more
aggressive. For a buy order, your bid is pegged to the NBB by a more aggressive offset
amount*, and if the NBB moves up, your bid will also move up. For sales, your offer is pegged to
the NBO by a more aggressive offset, and if the NBO moves down, your offer will also move
down. In addition to the offset, you can define an absolute cap, which works like a limit price,
and will prevent your order from being executed above or below a specified level.
For relative orders with a "0" offset, the order is submitted as a limit order at the best bid/ask,
and will move up and down with the market to continue to match the inside quote.
Note: If you have tooltips enabled, you can hold your mouse over the Limit price of the
relative order and see the current exchange price for that order.
To enter a Relative order
TWS Guide 602
Chapter5 Relative/Pegged-to-Primary
1. Click in the Ask Pricefield to initiate a BUY order, or the Bid Pricefield to initiate a SELL
order.
2. Click in the Type field and select REL as the order type.
3. Enter the offset amount in the Aux. Pricefield, or set a percent using the Pct. Offsetfield.
If both fields have values the higher of the two will be used as the offset. To display the
Pct. Offset field:
Hold your cursor over a field in the order row fields until the green + sign appears.
Click the + sign to show the list of order fields.
In the Price category, select Pct Offset. The field is added to the left of the selected
field.
Note: If you submit a relative order with a percentage offset, you are instructing us to
calculate an order price that is consistent with the offset, but that also complies with
applicable tick increments. Therefore we will calculate the order price rounded to the
appropriate tick increment (e.g., pennies for a U.S. stock trading at a price over $1.00).
Buy orders will be rounded down to the nearest acceptable tick increment and sell
orders will be rounded up.
You can modify the offset amount for several relative orders on the same trading page at one
time. To do this, select multiple relative orders by holding the Ctrlkey and clicking on each
order. After you have selected all relative orders, right-click on one of the selected orders and
select Modify. In the Relative Order Modificationbox, define an offset or percent offset amount
and click OK. All selected orders will be changed.
Please note that you can change the name of the Relativeorder to Pegged-to-Primaryusing the
Settings page of the Displaygroup in Global Configuration.
For a more detailed description of relative orders visit the Order Types information page.
*The offset is the amount that will be added to the best bid (for a buy order) and subtracted from
the best ask (for a sell order) to create the limit price at which the relative order will be
submitted.
TWS Guide 603
Chapter5 Relative + Market
Relative + Market
The REL + MKT order type is available for certain multi-leg combinations, and when used with
a non-guaranteed combination order it could help to increase the chances of all legs in the
order being filled. Although the order type uses the term "Relative," this refers to the behaviour
of the limit order initially submitted, which is pegged to the bid for a buy and to the ask for a sell
similiar to a Relative order, in an attempt to add rather than remove liquidity. Initially one or
more legs are submitted as limit orders, but if the first leg fills or partially fills, the remaining legs
are resubmitted as market orders.
To create a combination Relative + Market order
TWS Guide 604
Chapter5 Retail Price Improvement Orders (RPI)
1. Create a Combination Order line on the Quote Monitor.
2. Click the Bid or Ask to create a Sell or Buy order line.
3. From the Typedropdown, select REL + MKT.
When you select REL + MKT, the limit price field becomes inactive and the Trigger Price field
requires the combo price input.
Retail Price Improvement Orders (RPI)
This order is similar to a Relative order, but requires an offset greater than zero (which may be
submitted in sub-pennies). RPI orders are routed to a separate book at the NYSE to trade
against qualified orders.
To submit an RPI order
Click the Ask price to create a Buy order or the Bid price to create a Sell order.
From the Type field, select RPI.
If you don't see RPI in the order type list, ensure that your Destination is set to SMART and that
the stock is listed on either the NYSE or NASDAQ.
Specify an offset greater than zero.
Transmit the order.
TWS Guide 605
Chapter5 Snap to Market
For more information, see the Order Types page on the website.
Snap to Market
The Snap to Market (SNAP MKT) order is similar to a pegged order, as the original order price
is determined by the current bid/ask plus or minus an offset. But unlike the pegged order price,
the "snap to" order price doesn't continue to peg as the price moves.
A Snap to Market BUY order snaps to the ask minus the offset, to set the order price. For a
SELL order, it snaps to the bid plus the offset.
To create a Snap to Market order
Create a buy or sell order.
From the Type field select SNAP MKT.
Specify an offset amount that will be subtracted from the bid (for a buy order) to determine the
limit price.
Transmit.
TWS Guide 606
Chapter5 Snap to Midpoint
For a more detailed description of relative orders visit the Order Types information page.
Snap to Midpoint
The Snap to Midpoint (SNAP MID) order is similar to a pegged order, as the original order price
is determined by the current bid/ask plus or minus an offset. But unlike the pegged order price,
the "snap to" order price doesn't continue to peg as the price moves.
A Snap to Midpoint BUY order snaps to the midpoint of the bid/ask minus the offset to set the
order price. For a SELL order, it snaps to the midpoint of the bid/ask plus the offset.
To create a Snap to Midpoint Order
Create a buy or sell order.
From the Type field select SNAP MID.
Specify an offset amount that will be subtracted from the midpoint of the bid/ask to determine the
limit price.
Transmit.
TWS Guide 607
Chapter5 Snap to Primary
For a more detailed description of relative orders visit the Order Types information page.
Snap to Primary
The Snap to Primary (SNAP PRIM) order is similar to a pegged order, as the original order price
is determined by the current bid/ask plus or minus an offset. But unlike the pegged order price,
the "snap to" order price doesn't continue to peg as the price moves.
A Snap to Primary BUY order snaps to the bid plus the offset to set the order price. A SELL
order snaps to the ask minus the offset.
To create a Snap to Primary Order
Create a buy or sell order.
From the Type field select SNAP PRIM.
Specify an offset amount that will be added to the bid (for a buy order) to determine the limit
price.
Transmit.
TWS Guide 608
Chapter5 Stop Order with Protection
For a more detailed description of relative orders visit the Order Types information page.
Stop Order with Protection
A Stop with Protection order is similar to a stop limit order. The order is submitted with a Stop
Price. When the contract trades at the stop price the order triggers, and is submitted as a limit
order at the exchange-defined "protection" limit price.
To create a stop with protection order
1. Click the Askprice to create a BUY order, or the Bid price to create a SELL order.
2. In the Typefield select STP PRT as the order type.
3. Define the Stop Price.
4. Transmit by clicking the "Transmit" button.
For a more detailed description of stop orders with protection, visit the Order Types information
page.
T + 2 Stock Settlement
Clients who write covered calls can elect to purchase shares that settle in T+2 to satisfy their
delivery obligations, instead of using existing shares and potentially incurring a higher tax
liability.
TWS Guide 609
Chapter5 T + 2 Stock Settlement
To specify T+2 for a US stock order, from the Destination field select TPLUS2 as the routing
destination.
TWS Guide 610
Chapter5 Trailing Stop
Trailing Stop
A trailing stop sell order sets the initial stop price at a fixed amount below the market price as
defined by the Trailing Amount. As the market price rises, the sell stop price rises one-to-one
with the market but always at the interval set initially by the trailing amount. If the stock price
falls, the stop price remains the same. When the stop price is hit, a market order is submitted.
Reverse this for a buy trailing stop order. This strategy may allow an investor to limit the
maximum possible loss without limiting possible gain.