The Percentage of Volume execution strategy follows the volume traded in the market and distributes a specified quantity over time, in proportion to the total quantity traded in the market. This is much like iceberg trading an order but will follow market volume rather than trading clips of a fixed size. The purpose of this algo is to minimize market impact while ensuring that the desired quantity is traded. The main bar chart shows the volume traded in each clip so far.

Select an instance in the Scenario Instances to view its data in the graphic section.

The total order quantity is partitioned over time intervals, with child order sizes determined by the volume seen traded in market over the preceding interval. It is possible to cap the child order size if you want; otherwise, the algorithm will attempt to place orders of the specified percentage of market volume. Each child order will be worked in market, becoming more aggressively priced if it remains unfilled, and the aggression of this working is determined by the algorithm’s progress relative to the market volume.