Author Topic: Does anyone use IBKR's adaptive algo?  (Read 1752 times)

muscleman

  • Hero Member
  • *****
  • Posts: 2921
Does anyone use IBKR's adaptive algo?
« on: January 07, 2019, 07:06:52 AM »
If the bid is 20.10 and ask is 20.15, Is it basically putting an order into the market at 20.11, and if not filled, move up 1 cent to try again? I think this kind of activity may cause the market to go up as it is seeing some aggressive bidder coming in. Or is it doing something smarter?

I am really pissed when i put in a buy adaptive order with patient urgency today with a limit of 20.6, and after market opened, it remained at 20.30 bid and 20.49 ask for 8 minutes without getting me filled, and then price went way up to 21.8. I called them to ask what "patient" really means but they refuse to answer.


gfp

  • Lifetime Member
  • Hero Member
  • *****
  • Posts: 1653
Re: Does anyone use IBKR's adaptive algo?
« Reply #1 on: January 07, 2019, 07:54:02 AM »
yeah, I don't use it.  They are constantly sending messages - 'try adaptive algo' and the more annoying 'warning, you have used a market order!' when I use market orders.  I know when I want to use a market order.  I don't need a warning against it each time.  By and large, regular old limit orders work best for me at IB.  Much better than the firms that route to citadel or god knows where and orders sit unexecuted.

If the bid is 20.10 and ask is 20.15, Is it basically putting an order into the market at 20.11, and if not filled, move up 1 cent to try again? I think this kind of activity may cause the market to go up as it is seeing some aggressive bidder coming in. Or is it doing something smarter?

I am really pissed when i put in a buy adaptive order with patient urgency today with a limit of 20.6, and after market opened, it remained at 20.30 bid and 20.49 ask for 8 minutes without getting me filled, and then price went way up to 21.8. I called them to ask what "patient" really means but they refuse to answer.

nkp007

  • Hero Member
  • *****
  • Posts: 559
Re: Does anyone use IBKR's adaptive algo?
« Reply #2 on: January 07, 2019, 08:21:57 AM »
It essentially splits your order in 100-share chunks so you don't move the market price.

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

muscleman

  • Hero Member
  • *****
  • Posts: 2921
Re: Does anyone use IBKR's adaptive algo?
« Reply #3 on: January 07, 2019, 10:29:57 AM »
It essentially splits your order in 100-share chunks so you don't move the market price.

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

Well, I was buying a 2 bn company today. Bid was 29.2 and ask was 29.24. I put in an adaptive limit order at 29.24 but only got 200 shares filled, and price immediately jumped up to 29.28/29.36. I had a similar experience with another stock where the moment I put the order in, the price jumped. I won't think it is coincidence because I was staring at the screen for minutes when I was doing the last round of sanity checks and price was not moving, but the moment I click the confirm button, the bid/ask changes. That's just too unreal to be coincidence.

nkp007

  • Hero Member
  • *****
  • Posts: 559
Re: Does anyone use IBKR's adaptive algo?
« Reply #4 on: January 07, 2019, 10:41:28 AM »
It essentially splits your order in 100-share chunks so you don't move the market price.

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

Well, I was buying a 2 bn company today. Bid was 29.2 and ask was 29.24. I put in an adaptive limit order at 29.24 but only got 200 shares filled, and price immediately jumped up to 29.28/29.36. I had a similar experience with another stock where the moment I put the order in, the price jumped. I won't think it is coincidence because I was staring at the screen for minutes when I was doing the last round of sanity checks and price was not moving, but the moment I click the confirm button, the bid/ask changes. That's just too unreal to be coincidence.

Sounds like volume is pretty low for that company and you got stuck in the market maker shuffle.

muscleman

  • Hero Member
  • *****
  • Posts: 2921
Re: Does anyone use IBKR's adaptive algo?
« Reply #5 on: January 07, 2019, 10:51:34 AM »
It essentially splits your order in 100-share chunks so you don't move the market price.

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

Well, I was buying a 2 bn company today. Bid was 29.2 and ask was 29.24. I put in an adaptive limit order at 29.24 but only got 200 shares filled, and price immediately jumped up to 29.28/29.36. I had a similar experience with another stock where the moment I put the order in, the price jumped. I won't think it is coincidence because I was staring at the screen for minutes when I was doing the last round of sanity checks and price was not moving, but the moment I click the confirm button, the bid/ask changes. That's just too unreal to be coincidence.

Sounds like volume is pretty low for that company and you got stuck in the market maker shuffle.

Volume is low? There is already 842k shares today. This is not small at all, especially comparing to the size I am trading.

gfp

  • Lifetime Member
  • Hero Member
  • *****
  • Posts: 1653
Re: Does anyone use IBKR's adaptive algo?
« Reply #6 on: January 07, 2019, 11:29:57 AM »
If you were willing to pay the ask why didn't you enter a limit order at the ask?

NoCalledStrikes

  • Full Member
  • ***
  • Posts: 132
    • No Called Strikes
Re: Does anyone use IBKR's adaptive algo?
« Reply #7 on: January 08, 2019, 03:45:45 PM »
If you were willing to pay the ask why didn't you enter a limit order at the ask?

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

Spekulatius

  • Hero Member
  • *****
  • Posts: 2387
Re: Does anyone use IBKR's adaptive algo?
« Reply #8 on: January 08, 2019, 03:59:02 PM »
If you were willing to pay the ask why didn't you enter a limit order at the ask?

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

Yep, but the most annoying trades are those where your bid never gets a fill, but then you see a trade for 0.01 penny higher a microsecond later. While you can only trade in 1 penny increments some HF trade can do smaller increments and suck up all the liquidity. At least thatís my take of it.
To be a realist, one has to believe in miracles.

given2invest

  • Lifetime Member
  • Hero Member
  • *****
  • Posts: 524
Re: Does anyone use IBKR's adaptive algo?
« Reply #9 on: January 08, 2019, 04:40:35 PM »
yeah, I don't use it.  They are constantly sending messages - 'try adaptive algo' and the more annoying 'warning, you have used a market order!' when I use market orders.  I know when I want to use a market order.  I don't need a warning against it each time.  By and large, regular old limit orders work best for me at IB.  Much better than the firms that route to citadel or god knows where and orders sit unexecuted.

If the bid is 20.10 and ask is 20.15, Is it basically putting an order into the market at 20.11, and if not filled, move up 1 cent to try again? I think this kind of activity may cause the market to go up as it is seeing some aggressive bidder coming in. Or is it doing something smarter?

I am really pissed when i put in a buy adaptive order with patient urgency today with a limit of 20.6, and after market opened, it remained at 20.30 bid and 20.49 ask for 8 minutes without getting me filled, and then price went way up to 21.8. I called them to ask what "patient" really means but they refuse to answer.

10 years now I have gotten how many 100 of those "warning you are using a market order emails".   IT DRIVES ME CRAZY.   Worst run company.