IB adaptive algo - how effective is it?

[Abundance Magnet]

Hi,


I've googled and Searched on it but haven't found anything of substance besides marketing on how it works, and how it is supposed to be more effective. But is it really?

What have been ppl's experience of IB's adaptive algo? Have you found it improved your trades on the stock side, or the option side? In particular, I would der know the option side because the spreads can be wider...

 

[Shadetree42]

I use it sometimes for limit orders in illiquid stocks around the open. It seems to do a decent job, but I have not done a thorough analysis of the fills.

 

[d08]

My opinion might be outdated but a few years ago it was poor. I didn't do quantitative analysis but it didn't seem to catch enough liquidity and it was poor compared to VWAP.
The IBAlgos I've tried have all been subpar compared to competition.

 

[Shadetree42]

Which specific algos do you like the most, among those available at IB (incl. CS, Jef, etc.)?

 

[Shadetree42]

Also, for limit orders adding liquidity, do you prefer generic SMART vs. SMART Max Rebate, or something else?

 

[dstyers]

Using adaptive algo on the patient setting with market orders fills better than a regular market order in general. On open, most orders with the patient setting will fill in under 10 seconds if there is adequate liquidity.

 

[Abundance Magnet]

Using adaptive algo on the patient setting with market orders fills better than a regular market order in general. On open, most orders with the patient setting will fill in under 10 seconds if there is adequate liquidity.

Isn't patient and market orders a bit of a contradiction?

 

[dstyers]

I suppose its being patiently impatient. The patient setting only means that the algo scans longer for a better fill but, in most cases it fills in under 2 sec anyways, and that is depending on size and liquidity.

 

[d08]

Which specific algos do you like the most, among those available at IB (incl. CS, Jef, etc.)?

I've been using CS algos - Guerrilla, Sniper, Pathfinder, TWAP, Close and Crossfinder. Still using Guerrilla and Close. Have compared a few with Jefferies offerings and CSFB ones perform at par or very slightly better.

IB ones are poor as mentioned, for example their Close algo isn't even guaranteed to finish, even with "attempt completion by EOD" - that's disappointing. Talking about equities with available liquidity, midcaps.
Both Jefferies and CSFB ones always completed by EOD.

I'm not too trusting of CSFB knowing their history of gaming the orders so I'd like to switch to IEX for most things, preferrably DPEG.

Also, for limit orders adding liquidity, do you prefer generic SMART vs. SMART Max Rebate, or something else?

I don't look to add specifically, I'm only concerned about locating liquidity and not moving the market.

 

[d08]

Using adaptive algo on the patient setting with market orders fills better than a regular market order in general. On open, most orders with the patient setting will fill in under 10 seconds if there is adequate liquidity.

I'd argue anything is better than a simple market order, unless you're dealing with something like SPY and relatively small orders.
Have you tried comparing it to something like CSFB's Guerrilla?