IB's CSFB Crossfinder+ vs Foxriver Dark Attack

Cyrix · Jan 7, 2019

My goal is to fill orders at mid price, and I have been using CSFB Crossfinder+ algo for some time.

Recently I noticed that Foxriver algos also included a Dark Attack algo which had a parameter 5 for targeting mid prices.

Any one here has experience with the Dark Attack algo?
How is it compared to Crossfinder+ in terms of execution price (lower/closer to mid price) and liquidity (faster to fill illiquid stocks)?

MrMuppet · Jan 7, 2019

to be very honest, I don't think anybody here on ET knows what you're even talking about. I'll PM you.

Humble Investor · Jan 7, 2019

I use both of them. I haven't noticed much of a difference but what I have found is that it is better to use all of them at the same time. I primarily use 3 algos. For example if I want to buy 15k shares, I route 5k to Crossfinder+, 5k to Dark Sweep (I prefer DS compare to Dark Attack because it is more aggressive) and 5k to CSFB Guerrilla, aggressive mode.

bears21 · Jan 7, 2019

Humble Investor said:
I use both of them. I haven't noticed much of a difference but what I have found is that it is better to use all of them at the same time. I primarily use 3 algos. For example if I want to buy 15k shares, I route 5k to Crossfinder+, 5k to Dark Sweep (I prefer DS compare to Dark Attack because it is more aggressive) and 5k to CSFB Guerrilla, aggressive mode.

curious to how your slippage is on these algos also are you trading liquid products?

Humble Investor · Jan 7, 2019

bears21 said:
curious to how your slippage is on these algos also are you trading liquid products?

I trade illiquid stocks with less than $300m in market cap. I don't care about slippage because I'm a long term investor, usually holdings positions for months if not years. I care about getting filled and those algos greatly improve access to dark liquidity compare to IB's smart router which is only great for lit liquidity, IMO.

d08 · Jan 7, 2019

Humble Investor said:
I use both of them. I haven't noticed much of a difference but what I have found is that it is better to use all of them at the same time. I primarily use 3 algos. For example if I want to buy 15k shares, I route 5k to Crossfinder+, 5k to Dark Sweep (I prefer DS compare to Dark Attack because it is more aggressive) and 5k to CSFB Guerrilla, aggressive mode.

This type of diversification appears to be best. I've seen some strategies get stuck, it's rare but it happens (in my case I auto-liquidate that portion at close).

Humble Investor · Jan 8, 2019

d08 said:
This type of diversification appears to be best. I've seen some strategies get stuck, it's rare but it happens (in my case I auto-liquidate that portion at close).

Yes. It looks to me that none of these algos can capture all liquidity. The other day, I had an order on Fox River Dark Sweep for 5000 shares to sell, It didn't fill a share. I tried CSFB Guerilla and it filled the entire order instantly. It has happened vice versa as well so I'm not saying Fox River is bad. So the conclusion for me is to use all 3 algos at the same time to maximise fill rates.

Cyrix · Jan 9, 2019

Humble Investor said:
I trade illiquid stocks with less than $300m in market cap. I don't care about slippage because I'm a long term investor, usually holdings positions for months if not years. I care about getting filled and those algos greatly improve access to dark liquidity compare to IB's smart router which is only great for lit liquidity, IMO.

I am more slippage sensitive. Dark Sweep is probably too aggressive for me.

But I agree that combining multiple algos is the way to go.

d08 · Jan 9, 2019

Humble Investor said:
Yes. It looks to me that none of these algos can capture all liquidity. The other day, I had an order on Fox River Dark Sweep for 5000 shares to sell, It didn't fill a share. I tried CSFB Guerilla and it filled the entire order instantly. It has happened vice versa as well so I'm not saying Fox River is bad. So the conclusion for me is to use all 3 algos at the same time to maximise fill rates.

I'm more into reducing slippage and flying under the radar, capturing all liquidity isn't the number one priority. Recently, using the 'patient' profile I've been getting fewer and fewer filled shares in the same window of time. IB's own algo fills are there but the quality is slightly worse.

Humble Investor · Jan 12, 2019

I should also add I have tried "Smart Dark Only" as well. It never fills at midpoint but for some reason it has access to substantial liquidity, so I like this one as well.