Elite Smart Router

Elite Smart Router is designed to meet the needs of institutional clients and experienced algorithmic traders. A wide array of advanced investing and trading strategies are supported with higher API limits and cost-effective pricing.

One year after launching Alpaca Elite, we are expanding the feature set of the Elite Smart Router. The two key additions are Direct Market Access (DMA) Gateway* and Advanced Order Types. Direct Market Access Gateway* (DMA Gateway) gives you direct control of where your orders are sent. This, along with advanced order types like Volume-Weighted Average Price (VWAP) and Time-Weighted Average Price (TWAP), enables you to efficiently manage large orders, control execution costs, help minimize market impact, and meet your specific trading objectives. DMA Gateway, VWAP, and TWAP can only be accessed if users are on the Elite Smart Router as part of the Alpaca Elite Program.

*Direct Market Access Gateway is provided solely by DASH Financial Technologies ("DASH"), a member of the listed exchanges. Alpaca enables customers to route orders to the selected exchange through DASH’s DMA capabilities.

DMA Gateway

DMA Gateway is a tool that gives you customization over where your trades are sent.

Benefits:

• Efficiently manage large orders
• Execution customization
• Help minimize market impact
• Meet your specific trading objectives

Implementation

DMA orders are configured using advanced_instructions in your order request payload:

curl --request POST \
     --url $APIDOMAIN/v2/orders \
     --header 'accept: application/json' \
     --header 'content-type: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \
     --data '
{
  "side": "buy",
  "symbol": "AAPL",
  "type": "limit",
  "qty": "100",
  "time_in_force": "day",
  "limit_price": "212",
  "order_class": "simple",
  "advanced_instructions": {
    "algorithm":  "DMA",
    "destination":  "NYSE",
    "display_qty":  "100"
  }
}' | jq -r

curl --request DELETE \
     --url $APIDOMAIN/v2/orders/<your_order_id> \
     --header 'accept: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \

Parameters

Notes:

• Parameter replacement is not supported for DMA orders

Available Destinations

• NYSE - New York Stock Exchange
• NASDAQ - NASDAQ Stock Market
• ARCA - NYSE Arca

We’re starting with the three destinations listed above, with plans to expand to 10+ additional destinations—including BATS, IEX, AMEX, and more—in the coming months.

Extended Hours Trading

DMA orders support extended hours trading for the following destinations:

• NASDAQ - Pre-market and after-hours sessions
• ARCA - Pre-market and after-hours sessions

VWAP: Volume-Weighted Average Price Orders

A VWAP order is designed to execute a trade at or near the volume-weighted average price of a security over a specified time period. It is calculated by dividing the total dollar value traded for the security (price × volume) by the total volume traded during that period.

VWAP automatically weights each trade price by its corresponding trade volume, ensuring the average reflects both price and trading activity. This makes VWAP a valuable reference for assessing execution quality and market trends.

Benefits:

• Market Impact Management: VWAP orders are designed to execute in proportion to market volume, which may help reduce the likelihood of large trades significantly influencing the market price.
• Benchmark Alignment: VWAP can be used as a benchmark strategy, aiming to achieve execution prices close to the volume-weighted average price over a specified time period. This approach may help align fills with average market pricing trends.

Implementation

VWAP orders are configured using advanced_instructions in your order request payload:

curl --request POST \
     --url $APIDOMAIN/v2/orders \
     --header 'accept: application/json' \
     --header 'content-type: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \
     --data '
{
  "side": "buy",
  "symbol": "AAPL",
  "type": "limit",
  "qty": "100",
  "time_in_force": "day",
  "limit_price": "212",
  "order_class": "simple",
  "advanced_instructions": {
    "algorithm":  "VWAP",
    "start_time": "2025-07-21T09:30:00-04:00",
    "end_time": "2025-07-21T15:30:00-04:00",
	  "max_percentage": "0.123"
  }
}' | jq -r

curl --request PATCH \
     --url $APIDOMAIN/v2/orders/<your_order_id> \
     --header 'accept: application/json' \
     --header 'content-type: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \
     --data '
{
  "qty": "200",
  "advanced_instructions": {
    "algorithm":  "VWAP",
    "start_time": "2025-07-21T09:40:00-04:00",
    "end_time": "2025-07-21T15:20:00-04:00",
	  "max_percentage": "0.321"
  }
}' | jq -r

curl --request DELETE \
     --url $APIDOMAIN/v2/orders/<your_order_id> \
     --header 'accept: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \

Notes:

• If advanced_instructions is not included in the replace payload then it will remain the same
• If advanced_instructions is included in the replace payload then it will replace the original one. So if the client wants to update only the end_time and keep the rest parameters as is, then the whole advanced_instructions payload needs to be sent in the replace request, including the unchanged parameters.

Parameters

TWAP: Time-Weighted Average Price Orders

A TWAP order is designed to execute a trade evenly over a specified time period, regardless of market volume. The order is divided into equal-sized trades that are placed at regular, pre-defined intervals until the order is complete.

Benefits:

• Reduces Market Impact: By spreading the order evenly across time, TWAP can help minimize the risk of significant price swings caused by large trades.
• Execution Predictability: Unlike VWAP, which adjusts based on market volume, TWAP may offer more consistent, evenly paced execution, which can be helpful in managing certain trading strategies.
• Effective in Low-Liquidity Environments: When volume patterns are unpredictable, TWAP can help prevent trades from disrupting the market and can help maintain price stability.

Implementation

TWAP orders are configured using advanced_instructions in your order request payload:

curl --request POST \
     --url $APIDOMAIN/v2/orders \
     --header 'accept: application/json' \
     --header 'content-type: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \
     --data '
{
  "side": "buy",
  "symbol": "AAPL",
  "type": "limit",
  "qty": "100",
  "time_in_force": "day",
  "limit_price": "212",
  "order_class": "simple",
  "advanced_instructions": {
    "algorithm":  "TWAP",
    "start_time": "2025-07-21T09:30:00-04:00",
    "end_time": "2025-07-21T15:30:00-04:00",
	  "max_percentage": "0.123"
  }
}' | jq -r

curl --request PATCH \
     --url $APIDOMAIN/v2/orders/<your_order_id> \
     --header 'accept: application/json' \
     --header 'content-type: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \
     --data '
{
  "qty": "200",
  "advanced_instructions": {
    "algorithm":  "TWAP",
    "start_time": "2025-07-21T09:40:00-04:00",
    "end_time": "2025-07-21T15:20:00-04:00",
	  "max_percentage": "0.321"
  }
}' | jq -r

curl --request DELETE \
     --url $APIDOMAIN/v2/orders/<your_order_id> \
     --header 'accept: application/json' \
     --header "Apca-Api-Key-Id: $APIKEY" \
     --header "Apca-Api-Secret-Key: $SECRET" \

Notes:

• If advanced_instructions is not included in the replace payload then it will remain the same
• If advanced_instructions is included in the replace payload then it will replace the original one. So if the client wants to update only the end_time and keep the rest parameters as is, then the whole advanced_instructions payload needs to be sent in the replace request, including the unchanged parameters.

Parameters

Key Considerations:

• advanced_instructions will be accepted for paper trading; however, the order will not be simulated in the paper environment.
• DMA gateway only supports market and limit orders and Time in Force (TIF) = day. If you wish to use MOO/MOC, gtc, or stop orders, you cannot specify advanced_instructions

Direct Market Access Gateway is provided solely by DASH Financial Technologies ("DASH"), a member of the listed exchanges. Alpaca enables customers to route orders to the selected exchange through DASH’s DMA capabilities..

Please note that this is currently only available to users who are on the Elite Smart Router. For more information on Alpaca Elite please see the term and conditions.

The content of this article is for general informational purposes only. All examples are for illustrative purposes only.

All investments involve risk, and the past performance of a security, or financial product does not guarantee future results or returns. There is no guarantee that any investment strategy will achieve its objectives. Please note that diversification does not ensure a profit, or protect against loss. There is always the potential of losing money when you invest in securities, or other financial products. Investors should consider their investment objectives and risks carefully before investing.

Securities brokerage services are provided by Alpaca Securities LLC ("Alpaca Securities"), member FINRA/SIPC, a wholly-owned subsidiary of AlpacaDB, Inc. Technology and services are offered by AlpacaDB, Inc.

This is not an offer, solicitation of an offer, or advice to buy or sell securities or open a brokerage account in any jurisdiction where Alpaca Securities are not registered or licensed, as applicable.