VWAP Order - Attempt to never take liquidity - Issue

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1

Hello,

I have created a VWAP order that has the attribute “Attempt to never take liquidity” set to True.
However, on sending the orders to IB, the “Attempt to never take liquidity” was set to False.
I had to manually update it on TWS.

Thank you.

2

Azo,
Did you ever figure out what was going on with this?
I’m considering using this setting and I’m wondering if I need to keep tabs on any issues with it.

Thanks
Tony

3

I have to change that setting (Put Attempt to never take liquidity to True) in IB everytime for every order generated by P123. It would be great if P123 can fix this.

4

Maybe we can talk the good folks at P123 into fixing that for us.

1 Like
5

We were going to fix this together with the release of a bigger project that included Canadian and European orders. But we run into some issues, so maybe we can just do this fix separately. Sorry for late reply.

6

For anyone that’s looking at this topic in the future, here is something to be aware of.

If you place a VWAP order with a P123 linked IB account and then login to the IB web portal, the orders are listed as market orders. However if you view the orders in Trader WorkStation, they are listed as VWAP. But if you drill down on a specific order in Trader Workstation it again shows it as a Market Order. VWAP orders are considered both Market Orders and VWAP orders and the only place you tell its an actual VWAP order (as far as I know) is in the orders list in Trader Workstation.

7

Actually the order is a market order. VWAP is just the algorithm that the order uses.

I know that sounds confusing, but if you use the TWS API, you will find that market orders have an .algo module, which in this case is VWAP.

8

Right, but if you want to know if its actually a vwap order, you cannot use the IB web portal to see it.

Edit: I thought it was fixed but it looks like the original problem is still there.
“Attempt to never take liquidity" is set to “no” on the IB side, even though I have it set to “yes” in my P123 order.

ib_VWAP
ib_VWAP876×102 4.49 KB

9

@marco Any chance we could sweet talk P123 into implementing its own VWAP and/or TWAP trading algos for use with Traider? I’m not sure if that’s something that can be done on our end or if it has to happen on the broker’s end. Tradier seems to be so much easier to deal with and a lot less red tape.
Trading algos sure would make Tradier even more appealing.

Thanks
Tony

11

Like most folks here, I am trading small and micro caps stocks. At IB, I have been using Adaptive Limit Order with time of execution set to “Patient”. Is there a better to do it at IB? (manually entering these orders)