Yes it does. If you want to route to dark pools only, use Dark only (cheaper than crossfinder) or Crossfinder. If you want to route to exchanges use IB's smart router or IEX. IEX routes to all exchanges.
Never used Dark ice.
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Best IB Algo for very illiquid stocks?
- Thread starter tonyf
- Start date
Never used Dark ice.
Yes it does. If you want to route to dark pools only, use Dark only (cheaper than crossfinder) or Crossfinder. If you want to route to exchanges use IB's smart router or IEX. IEX routes to all exchanges.
Never used Dark ice.
Thanks - I found this online (published back in 2011 but covers Crossfinder+): https://epdf.pub/an-introduction-to...asic-to-advanced-strategies-wiley-tradin.html
Now most of my trades are GTC (very convenient to set and forget). The CSFB algos need to be set daily it seems. Is there a possibility of automating this (excel api or else)?
I'm not sure about that. Sorry!Thanks - I found this online (published back in 2011 but covers Crossfinder+): https://epdf.pub/an-introduction-to...asic-to-advanced-strategies-wiley-tradin.html
Now most of my trades are GTC (very convenient to set and forget). The CSFB algos need to be set daily it seems. Is there a possibility of automating this (excel api or else)?
Is there a possibility of tapping into the UBS dark pools with IB?
https://www.fnlondon.com/articles/c...rket-share-declines-after-settlement-20160223
https://www.fnlondon.com/articles/c...rket-share-declines-after-settlement-20160223
Crossfinder router has access to all the major dark pools. Over 20 I think.
Humble, do you have any sense whether these algos would do well for trading illiquid stocks but not at such a large percentage as your 10k on 100k ADV example, more like 0.5% of ADV?
I sometimes trade stocks with market caps in the 100-400M range that might trade only trade a few million dollars worth of shares a day. Previously I tried some of these algorithms (I don't think crossfinder or sniper specifically though) and found the fills to be rather poor -- taking probably on average 15 minutes to complete and mostly idling until right before the market made an above average move (for that time frame) in what would have been a profitable direction. I think I was getting an average slippage of 0.3-0.4% which seemed too high to me. I've had much better success with basic passive limit orders. Now I'm wondering if perhaps I just selected the wrong algos?
I sometimes trade stocks with market caps in the 100-400M range that might trade only trade a few million dollars worth of shares a day. Previously I tried some of these algorithms (I don't think crossfinder or sniper specifically though) and found the fills to be rather poor -- taking probably on average 15 minutes to complete and mostly idling until right before the market made an above average move (for that time frame) in what would have been a profitable direction. I think I was getting an average slippage of 0.3-0.4% which seemed too high to me. I've had much better success with basic passive limit orders. Now I'm wondering if perhaps I just selected the wrong algos?
Humble, do you have any sense whether these algos would do well for trading illiquid stocks but not at such a large percentage as your 10k on 100k ADV example, more like 0.5% of ADV?
I sometimes trade stocks with market caps in the 100-400M range that might trade only trade a few million dollars worth of shares a day. Previously I tried some of these algorithms (I don't think crossfinder or sniper specifically though) and found the fills to be rather poor -- taking probably on average 15 minutes to complete and mostly idling until right before the market made an above average move (for that time frame) in what would have been a profitable direction. I think I was getting an average slippage of 0.3-0.4% which seemed too high to me. I've had much better success with basic passive limit orders. Now I'm wondering if perhaps I just selected the wrong algos?
How are those off exchage trades reported as? FINRA?
Yes, they are reported under FINRA.