Author Topic: Does anyone use IBKR's adaptive algo?  (Read 1771 times)

Gregmal

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Re: Does anyone use IBKR's adaptive algo?
« Reply #10 on: January 08, 2019, 05:00:48 PM »
A lot of the stupid and redundant stuff is primarily CYA regulatory stuff.


maybe4less

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Re: Does anyone use IBKR's adaptive algo?
« Reply #11 on: January 08, 2019, 11:27:11 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.

FWIW, I use IB's adaptive algo all the time for all kinds of stocks and get great fills. For most stocks I use it on normal urgency and more illiquid stuff I used the patient setting. Merrill's free trades are nice, but the execution is the worst of all the brokers I use (Schwab, TD, Fidelity, IB, and Merrill).

muscleman

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Re: Does anyone use IBKR's adaptive algo?
« Reply #12 on: January 10, 2019, 02:12:48 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.

FWIW, I use IB's adaptive algo all the time for all kinds of stocks and get great fills. For most stocks I use it on normal urgency and more illiquid stuff I used the patient setting. Merrill's free trades are nice, but the execution is the worst of all the brokers I use (Schwab, TD, Fidelity, IB, and Merrill).

Which broker do you think has the best execution? I've tried out TD, Fido and IB. Initially I have my bigger account in IB and it usually has worse fill, but after I moved the account to TD, I notice bigger accounts have worse fills in general. I see the same behavior of getting a small partial fill and price moves up.


maybe4less

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Re: Does anyone use IBKR's adaptive algo?
« Reply #13 on: January 10, 2019, 02:36:52 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.

FWIW, I use IB's adaptive algo all the time for all kinds of stocks and get great fills. For most stocks I use it on normal urgency and more illiquid stuff I used the patient setting. Merrill's free trades are nice, but the execution is the worst of all the brokers I use (Schwab, TD, Fidelity, IB, and Merrill).

Which broker do you think has the best execution? I've tried out TD, Fido and IB. Initially I have my bigger account in IB and it usually has worse fill, but after I moved the account to TD, I notice bigger accounts have worse fills in general. I see the same behavior of getting a small partial fill and price moves up.

That experience of having a small partial fill and then seeing the price move up is why I like IB's adaptive algo so much. It simply hasn't happened to me with the algo.

Of the others that I've tried, it seems like Fidelity might have the best execution, even for larger accounts.

muscleman

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Re: Does anyone use IBKR's adaptive algo?
« Reply #14 on: January 11, 2019, 03:45:37 PM »
That experience of having a small partial fill and then seeing the price move up is why I like IB's adaptive algo so much. It simply hasn't happened to me with the algo.

Of the others that I've tried, it seems like Fidelity might have the best execution, even for larger accounts.

Thank you! I tried the adaptive algo for a while and found that sometimes as IB is scanning between bid and ask, stock starts to move up without me getting any fill. I wonder if it is moving because IB is scanning and detected by other HFTs, or if it is just coincidence. Have you experienced this?
Sometimes IB scans and fills a portion of my order and scans again and fills another portion later. Have you seen them doing this?

maybe4less

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Re: Does anyone use IBKR's adaptive algo?
« Reply #15 on: January 11, 2019, 04:29:59 PM »
That experience of having a small partial fill and then seeing the price move up is why I like IB's adaptive algo so much. It simply hasn't happened to me with the algo.

Of the others that I've tried, it seems like Fidelity might have the best execution, even for larger accounts.

Thank you! I tried the adaptive algo for a while and found that sometimes as IB is scanning between bid and ask, stock starts to move up without me getting any fill. I wonder if it is moving because IB is scanning and detected by other HFTs, or if it is just coincidence. Have you experienced this?
Sometimes IB scans and fills a portion of my order and scans again and fills another portion later. Have you seen them doing this?

This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

muscleman

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Re: Does anyone use IBKR's adaptive algo?
« Reply #16 on: January 13, 2019, 06:46:19 AM »


This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

Thank you! What I am looking for for larger orders is that they can fill some, wait for a bit, and fill more, wait a bit, and fill more.
Do you see that happening when you have adaptive order?

The other question I have is, do you know if they reset their scan time when bid/ask moves? If thatís the case then the order may never get filled when bid/ask is constantly changing.

Lastly, I noticed a much higher chance to be filled in NYSE when using this order type. Not sure if I have enough data sample to prove that though.

maybe4less

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Re: Does anyone use IBKR's adaptive algo?
« Reply #17 on: January 13, 2019, 10:31:06 PM »


This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

Thank you! What I am looking for for larger orders is that they can fill some, wait for a bit, and fill more, wait a bit, and fill more.
Do you see that happening when you have adaptive order?

The other question I have is, do you know if they reset their scan time when bid/ask moves? If thatís the case then the order may never get filled when bid/ask is constantly changing.

Lastly, I noticed a much higher chance to be filled in NYSE when using this order type. Not sure if I have enough data sample to prove that though.

Yeah, the behavior of filling some and waiting and then filling some more is what I typically see with the adaptive orders. Sometimes if the price puts my limit "in the money" I will start getting fills in quick succession. Not always but sometimes (sometimes my limit will be below the bid/above the ask and the algo won't get me a fill for a while). When it doesn't happen, I usually adjust my limit price to slow it down, unless I am eager to get shares.

I think they must reset the parameters depending on price moves, volume, etc, but I don't know exactly what they do.

Never compared the different exchanges with the algo.

muscleman

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Re: Does anyone use IBKR's adaptive algo?
« Reply #18 on: January 14, 2019, 12:19:01 AM »


This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

Thank you! What I am looking for for larger orders is that they can fill some, wait for a bit, and fill more, wait a bit, and fill more.
Do you see that happening when you have adaptive order?

The other question I have is, do you know if they reset their scan time when bid/ask moves? If thatís the case then the order may never get filled when bid/ask is constantly changing.

Lastly, I noticed a much higher chance to be filled in NYSE when using this order type. Not sure if I have enough data sample to prove that though.

Yeah, the behavior of filling some and waiting and then filling some more is what I typically see with the adaptive orders. Sometimes if the price puts my limit "in the money" I will start getting fills in quick succession. Not always but sometimes (sometimes my limit will be below the bid/above the ask and the algo won't get me a fill for a while). When it doesn't happen, I usually adjust my limit price to slow it down, unless I am eager to get shares.

I think they must reset the parameters depending on price moves, volume, etc, but I don't know exactly what they do.

Never compared the different exchanges with the algo.


thank you! Do you usually buy during a pull back or during a break out when price is moving fast? Whatís the typical order size, if you donít mind?