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!