IB: Price Improvement or Fast Fill? Now You Can Have Both

[Abundance Magnet]

It's not really an order type but it's extremely helpful in splitting up large orders. Of course via the API, you can let your code do it for you but I prefer something that's in the TWS.

How would you deal with large orders then?

The way it is advertised, I didn't think it was just for large orders. I thought it was more for traders. For stocks like AMZN, pcln, etc... This execution could be helpful.

 

[d08]

How is it advertised, imagine the bid/ask sizes of what you're trading are 1 to 3 and you're holding 100, you'd just advertise that size? That would be a terrible execution strategy.
With acc/dist you can simply choose to sit on the bid or ask if execution is not urgent, saving on commissions and possibly getting better fills.

 

[isotope1]

Is it possible to submit an adaptive order type via the API?

It seems to be missing from the API docs. (https://www.interactivebrokers.com/en/software/api/api.htm)

 

[rwk]

It's essentially undocumented. I have managed to do it in Pascal via the ActiveX. What language are you using?

 

[isotope1]

Python w/ IBPy. I actually managed to get it to work too:

        from ib.ext.Order import Order
        from ib.ext.TagValue import TagValue
        order = Order()
        order.m_orderType = 'MKT'
        order.m_algoStrategy = 'Adaptive'
        order.m_algoParams = [TagValue('adaptivePriority','Patient')]

 

[tradrjoe]

Do these advanced IB algos work if you don't subscribe to real-time market data (only trading using delayed data)?

 

[Shadetree42]

IB -- how about making your algos use "pegged to mid" orders (on Island and IEX) as an option?

There is usually a lot of liquidity between the bid and ask -- in, say, a 1.95/2.00 stock -- that these algos miss out on.