IB's MidPrice vs Adaptive Algo

[d08]

good tips here... thanks d08

I tried adaptive algo in the past trying all settings and overall on average saw worse slippage over 100+ trades than just buying with a market order

now thinking about changing that to:
- buy at LMT current price
- modify order to market order after 30 to 50 seconds if not filled

AAPL, AMZN etc

good idea? or should I just use one of IBs algos? which one?

As Haim Bodek said in Wall Street Code, in most scenarios you're just better off taking market. Note that a regular market order at IB is slower than a far out limit order, which will execute immediately, no matter the price (up to said limit of course).
When market is normal and I have time to close the position, I split the order into many MIDPRICE legs. I think these orders are also gamed but haven't run analysis lately. When it's very volatile and I expect continuation, it's just the far out limit.

 

[ZBZB]

As Haim Bodek said in Wall Street Code, in most scenarios you're just better off taking market. Note that a regular market order at IB is slower than a far out limit order, which will execute immediately, no matter the price (up to said limit of course).
When market is normal and I have time to close the position, I split the order into many MIDPRICE legs. I think these orders are also gamed but haven't run analysis lately. When it's very volatile and I expect continuation, it's just the far out limit.

 

[SPYAlgoTrader]

d08: thanks again... playing around with midprice right now - just to make sure it is

order.OrderType = "MIDPRICE";

? originally tried MidPrice in order.AlgoStrategy which failed at 978u

very slow execution but looks like an improvement...

 

[d08]

Yes, orderType. It's nothing fancy and it's not to be used when you really need any speed. It's basically a relative order which I believe is modified depending on the route.

 

[SPYAlgoTrader]

Yes, orderType. It's nothing fancy and it's not to be used when you really need any speed. It's basically a relative order which I believe is modified depending on the route.

been live testing the orderType=MidPrice and in fact it beats concurrently executing adaptive=urgent and adaptive=normal (worse) suborders and my own homegrown solution (which tries lmt orders that are dynamically adjusting within a 30sec window) and it also appears to beat an all in mkt order (which I try to avoid to not move market too much)

thanks for the tip! any other ib algos you use and can recommend?

 

[d08]

thanks for the tip! any other ib algos you use and can recommend?

Not really. I actually send market (via distant limit for instant execution) for many orders that are time sensitive.
Watch out with MIDPRICE as the orders come "stuck" on IB sometimes. It seems to be a technical issue. For example I can send two MIDPRICE orders, the first one is stuck for 5 minutes while the second one executes. Seems like a technical issue.

 

[SPYAlgoTrader]

Not really. I actually send market (via distant limit for instant execution) for many orders that are time sensitive.
Watch out with MIDPRICE as the orders come "stuck" on IB sometimes. It seems to be a technical issue. For example I can send two MIDPRICE orders, the first one is stuck for 5 minutes while the second one executes. Seems like a technical issue.

good to know... saw that in paper trading once.
Eventually by backend has a thread watching algo orders and turning them into MKT if they don't within less than a minute.

 

[GrowleyMonster]

No direct comparison but I prefer MidPrice or market, Adaptive (normal) might be suited for low volatility but it absolutely gets destroyed in current conditions.

I have been using midprice, getting nearly instant fills with minimal price slippage.

 

[d08]

I have been using midprice, getting nearly instant fills with minimal price slippage.

It depends on what you trade and the size. There's plenty that fill instantly but I regularly have orders waiting for 3-4 minutes for a fill.

 

[traider]

It depends on what you trade and the size. There's plenty that fill instantly but I regularly have orders waiting for 3-4 minutes for a fill.

Does midprice work for futures and options?
Do you need the latest version of TWS to use the algos?
Are there additional charges for using algos to execute
Does midprice react differently when market is moving extremely fast vs slow