1. Very Large orders are those orders whose order size is > 50% of ADV and > 15 times the average NBBO size for that contract (except for size-accumulating ALGO orders, see #3). 2. Large orders are those orders whose order size is > 10% of ADV and 3 times the average NBBO size for that contract. 3. Large Size Based Algo orders are those algo orders that accumulate size over time and whose order size is > 5% of the shares outstanding (for stock contracts) and 5 * the ADV for non-stock contracts. Now I keep getting error messages along the lines of "In accordance with our regulatory obligations as a broker we cannot accept large limit order for 5000 shares of XYZ that you have submitted. Please submit a smaller order (not exceeding 3987)" which is somehow annoying. But you can break a larger order in multiple small ones to circumvent the filter. Does anyone know where to find ADV and NBBO in TWS?