New Order Types for Interactive Brokers: VWAPBestEffort, Relative Order, and Exchange Routing

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New Order Types for Interactive Brokers: VWAPBestEffort, Relative Order, and Exchange Routing

edited May 20, 2014

We’re launching three new order types for Quantopian: Relative Order, VWAPBestEffort, and ability to route your order to IEX! These functions give you greater control of your orders, and can only be used for live trading with Interactive Brokers (IB).

Relative Order allows you to seek a more aggressive price than the National Best Bid and Offer, increasing the odds of filling your order.
VWAPBestEffort is a method that splits up a large order into smaller portions in attempt to get you the Volume Weighted Average Price (VWAP) during the trading day.
And finally, we’ve made Michael Lewis proud by creating the option to route your orders to IEX. This exchange is a stock trading platform launched late last year with the express goal of negating latency arbitrage by introducing a delay of 350 microseconds in the execution of trades. You can read more about it in our blog post or see the technical details in our API help documentation. By default, all orders in live trading are routed to exchanges using IB’s Smart Order Router algorithm.

We’re excited to deliver new features. These were all customer requests from our live trading pilot program. We're continuing to work on new features to support algorithmic investing and backtesting. Please keep the feedback coming!

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

3 responses

Awesome. The VWAPBestEffort will be super for lightly traded stocks.

Suminda Dharmasena

Great features. Another addition could be trailing order like trailing stops.

Suminda Dharmasena

Also OCO, OTO orders.

Also organise orders into different groups with operations on the whole group.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.