TWAP-ALGO

A TWAP-ALGO order trades based on time intervals to match the Time Weighted Average Price (TWAP) in a security, calculated from the time of order placement to the end of the regular session. TWAP trades strictly on the clock, does not adjust the speed of execution based on historical volume data.

• Algo orders can be routed for listed NYSE, AMEX, NYSE Arca, Nasdaq, and IEX stocks.
• Minimum order size is 1,000 shares.
• TWAP-ALGO accepts decimal increments precise to two digits (that is, prices as fine as .01).

Order Duration

Day

May be entered between 8:00 A.M. and 4:00 P.M. Eastern.

Orders placed before 9:30 A.M. will become active at 9:30 A.M. Eastern.

Unfilled orders and leaves expire at 4:00 P.M. Eastern.

Order Behavior

• Market orders are matched within algorithm logic at specific intervals as determined by the algorithm.
• Marketable limit orders are matched within algorithm logic at specific intervals as determined by the algorithm. Order price may be improved. Non-marketable limit orders are held in the algorithms order book.
• Start time of the order is the time at which it was entered.
• End time of the order is the close of regular session.
• Algo parameters cannot be modified.
• Auction defaults to include opening and exclude closing auction.
• Ensure to select 'Day' when sending an algo order prior to market open.