IB adaptive algo - how effective is it?

[Abundance Magnet]

T

I use adaptive on illiquid option orders occasionally. When I've set it to patient, sometimes it would take maybe 30+ minutes to sort of walk the price up to the limit. However, for example, on Friday I gave it another try on "normal" setting and it appeared to just about immediately set my order to the limit price and get a fill. This is in contrast to the last time I tried it (a couple months ago) when I used normal and it still took a few minutes.

Without details as to how the algo works, we can only speculate. I suspect they have some statistical metrics about fills that they use to determine how to work and that's why we see different behaviors. Possibly depends on underlying, time of day, and so forth, but I really don't know. I know when trading options with large spreads, it appears to be inconsistent in how quickly it bumps the limit price. I've have not looked to see if it favors certain exchanges or moves my order around exchanges.

Thanks for the detailed response. It would be nice to understand some general parameters as to how they do it, but that's not IB's style or MO.

 

[Cyrix]

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.



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

When you use Guerrilla, do you use normal Guerrilla or the Float Guerrilla?
Would there be any improvement when using the Float one?

Thanks.

 

[d08]

When you use Guerrilla, do you use normal Guerrilla or the Float Guerrilla?
Would there be any improvement when using the Float one?

Thanks.

I used Guerrilla only before, I've stopped using it completely as the fill quality was poorer than IB's alternative.

 

[Cyrix]

I used Guerrilla only before, I've stopped using it completely as the fill quality was poorer than IB's alternative.

May I ask what that IB alternative is?
Thanks.

 

[d08]

Adaptive. With volatile stuff it just makes sense to hit the market or with others use auctions, for me anyway.

 

[Humble Investor]

Adaptive. With volatile stuff it just makes sense to hit the market or with others use auctions, for me anyway.

Hey, you seem to be very knowledgeable on this stuff. What is the most aggressive algo for capturing all liquidity? IB's smart router routes to only 8 dark pools. I have been using Guerrilla aggressive but you are saying the fills are not that good. I need something to take all available dark and lit liquidity up to and including the ask in one go. Thanks a lot

 

[zdave83]

Can anyone recommend an algo provider that improves trading for index option spreads, and, works with IB accounts ? I don't believe IB has any helpful algos for this need.

 

[d08]

Hey, you seem to be very knowledgeable on this stuff. What is the most aggressive algo for capturing all liquidity? IB's smart router routes to only 8 dark pools. I have been using Guerrilla aggressive but you are saying the fills are not that good. I need something to take all available dark and lit liquidity up to and including the ask in one go. Thanks a lot

You'd probably have to utilize all of the decent choices. IEX/hidden for visible liquidity and CSFB dark pool algos for others, IB stuff is nice because they have internal liquidity from their customer base which also helps. I would not rely on any one destination.

 

[Humble Investor]

You'd probably have to utilize all of the decent choices. IEX/hidden for visible liquidity and CSFB dark pool algos for others, IB stuff is nice because they have internal liquidity from their customer base which also helps. I would not rely on any one destination.

Thank you very much. I agree with you. I mainly use IEX, Smart DARK only and Guerrilla. One more question, Any thought on Guerrilla vs Sniper? Which one do you prefer? Thanks a lot

 

[d08]

Thank you very much. I agree with you. I mainly use IEX, Smart DARK only and Guerrilla. One more question, Any thought on Guerrilla vs Sniper? Which one do you prefer? Thanks a lot

They're for different purposes. Back when I used them, if I recall correctly, Sniper will wait for liquidity at the limit price or below/above and then grab everything. Guerrilla is more of a longer timeframe strategy, slowly building the position.