1. Total Quantity – defines the aggregate order size (e.g., shares, contracts);
2. Trade Increment – defines the unit (e.g., shares, contracts) size for each component order;
3. Time Increment – defines the period of time (seconds, minutes or hours) between the execution of a component order and the submission of the following order;
4. Order Type – may select from market, limit or relative. A market order will be executed at the ask price and should only be used where, for example, a stock is highly liquid with significant bid-ask sizes. Limit and Relative order types require that the trader specify additional order relationships and the choices are numerous. The execution price, for example, may be specified as being relative to a fixed value, bid, ask or last price, VWAP, moving average or last trade. These choices may be increased or decreased by an offset factor and multiple conditions may be established. For example, one may wish to create a relative order type to match the bid price plus an offset factor of $0.01 and to ensure that they don’t lift the ask if the spread is $0.01, add a condition that the bid be no less that $0.02 beneath the ask price.
5. How to Operate – if the trader does not check the box titled “Wait for current order to fill before submitting next order” then orders which do not meet the price conditions will continue to accumulate in accordance with the established time increment, the unexecuted orders will be aggregated into one or more potentially sizable orders at the exchange. If this box is checked, then the more restrictive the buying conditions, the greater the likelihood that the algorithm will fall behind its schedule of buying or selling at every ‘X’ interval.  If this box is checked the trader may then check the box titled “Catch up in time”. When that box has been checked and should the algorithm fall behind, the next orders will be placed immediately after their predecessor fills until such time the algorithm has caught up.
6. Randomization – check boxes are provided to allow for a +/- 20% randomization in the time increment and a +/- 55% randomization in the trade increment. Accordingly, in the case of a 30 second time increment, this would allow for randomization of between 24 and 36 seconds between orders and in the case of a 500 share trade increment, this would allow for randomization of between 200 and 800 shares (rounded to the nearest round lot) per order. Randomization serves to minimize the likelihood of others detecting your order.
7. RTH – a check box is provided which will allow the order to be filled outside of regular trading hours.
8. Take up Offer Size – if a limit or relative order type is selected, the trader may input an order size which if bid (in the case of a sell order) or offered (in the case of a buy order) the trader would be willing to take in its entirety, up to the remaining portion of the total order quantity (satisfies the price conditions).

1. Price Range - traders may specify a price range outside of which they do not want to buy the stock;
2. News – the trader may stop the algorithm for some period of time if there is news on the stock, for example;
3. Position - traders may stop the algorithm based upon their position in the stock; For example, a trader running multiple algorithms one to buy the stock and another to sell in an attempt to trade the stock back and forth for a profit may decide to suspend one side if the position becomes substantially imbalanced;
4. Stock Path – a trader, for example, may wish to suspend the algorithm if a given moving average, say the 10-minute VWAP is not at least as high as another average, say the 50-day moving average. This feature enables you to set up algorithms to trade chart points even when you are not looking at the chart at that moment;
5. Stock Path for Multiple Symbols – this condition is similar to the last except that it calls for two symbols. Here you can put in any symbol and compare some data point regarding that symbol (e.g., 10-minute VWAP, etc.) to the same or a different data point regarding the second symbol. These comparative conditions can apply to different symbols or to the same symbol.   For example, you could specify that you want to buy a certain stock only if it has been in a continuous uptrend. So in addition to the 10-minute VWAP being higher than the 50-day moving average, you would also like the 10-day moving average to be higher than the 30-day moving average on this stock.

1. Products – any product offered by IB (stocks, options, ETFs, bonds, futures, Forex) other than mutual funds;
2. Order Type – market, limit or relative.

IMPORTANT NOTE

This algo will only operate when the trader is logged into the TWS.  If the trader has been logged out prior to the algo completing (either by user action or by the automated nightly restart), a message will appear upon the next log in which will allow for re-activation of the algo.

A special arrangement between CME Group and the Singapore Exchange (SGX), referred to as the Mutual Offset System (MOS), allows traders of both the Yen and USD denominated Nikkei 225 futures to take positions in the products at one exchange and offset them at the other one.  The effect of this arrangement is to create one marketplace crossing different time zones as well as fungibility of contracts between the exchanges.

IB account holders may avail themselves of the MOS functionality by specifying at the point of trade entry both the proper underlying symbol and exchange.  In the case of the Yen Denominated Nikkei 225 Index contract the IB underlying symbol is 'NIY' and the exchange either 'Globex' (for contracts listed at and trading during CME hours) or 'SGXCME' (for contracts listed at and trading during SGX hours).  In the case of the USD Denominated Nikkei 225 Index contract the IB underlying symbol is 'NKD' and the exchange either 'Globex' (for contracts listed at the CME) or 'SGXCME' (for contracts listed at the SGX).

To illustrate the concept of fungibility, were an account holder to enter into a long futures position on the CME exchange and thereafter enter into a short futures position having the same underlying symbol and expiration date but listed on the SGXCME exchange, the effect would be the same as if that short position was executed on the CME exchange and that is to close the long position. 

MOS also provides margin offset for positions entered into on either of the two exchanges in the manner noted above.  Here, for example, a long futures position entered into from the CME exchange would be afforded spread margin treatment against a short position having the same underlying but a different expiration month which was entered into from the the SGXCME exchange. This effect is intended to be similar to that which would take place if both the long and short position were entered into from the same exchange.

IMPORTANT NOTE

IB also offers trading in the identical SGX-listed futures contracts but without the MOS features of fungibility and margin offset as outlined above. In the case of the Yen Denominated Nikkei 225 Index, the contract having the underlying symbol 'SGXNK' and exchange of SGX is the functional equivalent of the 'NIY' contract having the exchange of SGXCME.  Similarly, in the case of the USD Denominated Nikkei 225 Index, the contract having the underlying symbol 'N225U' and exchange of SGX is the functional equivalent of the 'NKD' contract having the exchange of SGXCME. It should be noted, however, that a long (short) position of a given expiration entered into on SGX exchange will not close out a short (long) position entered into on the SGXCME, or the CME for that matter.  In addition, there is no margin offset provided between SGX-listed and SGXCME or CME contracts.

A table of trading hours for the MOS eligible products is provided below:

 *Please refer to the respective websites of each exchange for adjustments which take place during periods when US Daylight Savings Time is in effect.

The particular currency which is necessary to purchase and settle any given product is determined by the listing exchange not IB. If, for example, you enter into a transaction to purchase a security which is denominated in a currency that you do not hold and assuming that you have sufficient margin excess, IB will create a loan for those funds. Note that this is necessary as IB is obligated to settle that trade with the clearinghouse solely in the designated currency of denomination. If you do not wish to have such a loan created and incur its associated interest costs, you would need to either first deposit funds into your account in the required currency form and amount or convert existing funds in your account using either our Ideal (for amounts under USD 25,000 or equivalent) or IdealPro (for amounts in excess of USD 25,000 or equivalent) venues, both available through the TWS. You should also note that once you close out a security position which is denominated in a non-Base Currency, the proceeds will remain in that non-Base Currency and subject to exchange rate risk until such time you either perform a currency conversion or use those proceeds for another similarly denominated product.

Please note that futures contracts, by default, do not roll over at expiration.  The TWS trading platform, however, does provide a feature referred to as the 'Automatic Futures Rollover Message' which, when activated, automatically displays a message on login eight days prior to expiration which allows one to select contracts for which the market data lines can be updated with the new front-month contracts.  Note that this will only serve to update the market data line and will not execute a trade unless the accountholder acts to transmit an order.  Any orders transmitted for roll over purposes are subject to the standard commission and fee schedule. 

The following steps are to be performed in order to activate this feature:

1. Click the Configure wrench icon in the trading window

2. In the left pane of Global Configuration, select General;

3. In the right pane, check Auto future rollover;

To view eligible futures rollovers within TWS, select Futures Rollover from the Ticker menu and then check all contracts that you want automatically updated to the new front month.

Also note that with the exception of certain currency futures contracts, IB does not allow for the actual physical delivery of underlying commodities.  Contracts which settle by physical delivery must be rolled over or closed out prior to a close-out deadline or face forced liquidation by IB.   Please refer to the website under the Trading and then Delivery, Exercise & Actions menu options for additional details as this deadline will vary by product.