Ib's Jeff Algos

H

Humble Investor

I'm trying to route a large order for a small cap stock via Jeff algos for the first time. What does WoW price mean? What is the difference between minimum take size and minimum fill size? Where can I get a clear definition of these stuff? IB's guide is not clear at all!!

Thanks.
 
Just to let everyone know, I executed my trade using Jefferies DarkSeek and it was absolutely great. 20% of average daily volume in a single trade at midpoint without moving the price.
I will never ever route to the exchanges again, even for small orders.
 
No, it's listed as DS. Seek routes to both exchanges and dark pools.
I still don't know what WoW means. didn't want to contact IB. WoW is optional anyway. I just used a midpoint limit order and it executed instantly.
 
Humble Investor said:
What does WoW price mean?
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Did you find this page (https://www.interactivebrokers.com/en/software/api/apiguide/tables/jeffalgoparameters.htm) ?

It says:

WoWPrice - Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified.

WowReference - Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing (any of "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint")

If you then put your Google-Fu to work, you will come up with the following page, which albeit not specific to Jeff I would guess is probably a similar concept:

https://www.bernsteinresearch.com/BRWEB/Public/CmsContent.aspx?cid=52500&nid=9912#wouldorwork

Which states :

Would or Work
Two-Stage Customized Execution Schedule


Would-or-Work is designed to be aggressive within a narrow range of the strike price, then stay involved by working along with volume if the stock moves away.

Key Points:
  • Within the user-specified discretionary range, the order is treated as an 'I would' order and worked aggressively in both displayed markets and dark pools
  • Outside of this range the order will be worked along with volume; a 'max work rate' parameter is available to the user

***But as others have said already, if you want the real answer then you have to get it from the horse's mouth (i.e. IB).***​
 
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Hi Humble Investor,

Do you know if there is a parameter to make the Darkseek order only execute at mid or better without a specified limit price (like Crossfinder)?

I have tried to use Darkseek with a limit price at mid, but the market often moves and the order never fills because the limit price then becomes out of the bid/ask range.

Thanks.
 
Cyrix said:
Hi Humble Investor,

Do you know if there is a parameter to make the Darkseek order only execute at mid or better without a specified limit price (like Crossfinder)?

I have tried to use Darkseek with a limit price at mid, but the market often moves and the order never fills because the limit price then becomes out of the bid/ask range.

Thanks.
More...

I don't think DS has midpoint functionality. The good thing about DS is that it has min fill size, so you can avoid odd-lots.
 
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