MIDPRICE versus Adaptive (IBALGO)

[d08]

...but IB does let you use third party algos, and some of them are fantastic.

Could you specify? I used CSFB stuff and it was hot garbage.

 

[Shadetree42]

Midprice is their better version of adaptive. Use adaptive for option contracts, midprice for equities/futures. It’s just a better way to get filled when you’re doing low size trades.

For larger orders, their vwap is meh, but IB does let you use third party algos, and some of them are fantastic. On the execution side, managing transaction costs and liquidity is very important or you’ll impair your pnl.

Which of the 3rd party algos do you like (for, say, medium liquidity stock orders)?

 

[Shadetree42]

I tend to use IBALGO VWAP for most stock orders (with a passive setting). I'm open to better options, but the ones I tried were way too aggressive for my taste.

 

[longandshort]

@d08 @Shadetree42

Depends on the size I’m dealing with and the constraint around the ticker. I normally benchmark my fill quality against both (1) vwap of the day and (2) close price. For more tactical trading, my benchmark becomes the vwap of time interval needed for a fill.

If I’m trying to aggressively purchase stock then (1) I’ll sweep screens (2) put in a vwap to close (3) leave an iceberg open, or all of the above.

CS pathfinder, sniper, and Blast are great for (1)
Guerilla/float are great for (3). Jeffries darkblitz is also good for sourcing liquidity but I’ll use it on sells mainly.

 

[largib]

So what's the best way (midprice, adaptive, vwap, third party algo) to get best fills if you want to get a buy or sell order done within one minute or so?

Do you consider this as time priority?

MIDPRICE is generally great unless you need time priority.



How do you execute, manually splitting orders? Whenever liquidity isn't great, market orders are out of question. Limit orders can be done manually. So you're relying on some trade management algo nearly always. You use them on all instruments where possible.

 

[Collagen]

For stocks i use MIdPrice and is way better than adaptive algo in term of fill prices. For futures, adaptive algo is the only choice available and personally i don’t think is that great than a simple mkt order in a liquid market. I just use Adaptive algo when i am close to a resistance or support and never use it at market open/close of rth. It’s quite pointless. There is a new algo for stocks since TWS ver 10.19 and that is pes but I didn’t tested properly yet as i am forced still to use tws ver 9.83 for some reason. Csfb and the other one are tailored for really big size trades and cost more. The only one that i rarely use from time to time is the one that works outside the regular session. (Forgot the name)

 

[largib]

Wait, now I'm confused: does IB MidPrice get filled very fast or there might be a chance it will not get filled for some period of time (as prices keep moving away)?

I read somewhere saying MidPrice is essentially the same as a limit order at MidPrice and once it's not filled, it will immediately do a market order. Is this even correct for IB MidPrice?

Thanks

 

[Collagen]

Midprice order You can set up with a limit order or keep that field blank.(not set up) What that does it mean is that if a limit order is set up You fills will never be worst than your limit price. If You don’t set it up than the algo will fill at the middle of bid / ask book. Depending on your size and how liquid is the ticket you are trading, it can take a fill almost immediately or wait several minutes. Adaptive is usually faster, even if You set it up with “patient” in the advance settings. If the trader want to build a position slowly over the day/days I usually use simple vwap which can have limit price as well. Say i want 1k q.ty of appl, the vwap will finish the process of building the required position at market close of that day. It’s great for those that don’t want to time the market in that specific day/s. In other word, build a position following the mkt.

FYI, this is the app I am using instead of relying on the slow TWS for quickly setting up my orders that need to be processed. Just need a symbol, quantity and (eventual) price for (lmt, stp, etc). I can trade everything on TWS in a matter of few click. The other app is just a bridge, actually an advanced bridge I developed over the years to fire my orders directly in TWS from TS using a 2 channel communication, advanced/synthetic Algo orders, multiple accounts and many other features. Still not finished but almost there.