IB: Price Improvement or Fast Fill? Now You Can Have Both

The way it is advertised, I didn't think it was just for large orders. I thought it was more for traders. For stocks like AMZN, pcln, etc... This execution could be helpful.

 

How is it advertised, imagine the bid/ask sizes of what you're trading are 1 to 3 and you're holding 100, you'd just advertise that size? That would be a terrible execution strategy.
With acc/dist you can simply choose to sit on the bid or ask if execution is not urgent, saving on commissions and possibly getting better fills.

 

Is it possible to submit an adaptive order type via the API?

It seems to be missing from the API docs. (https://www.interactivebrokers.com/en/software/api/api.htm)

 

It's essentially undocumented. I have managed to do it in Pascal via the ActiveX. What language are you using?

 

Python w/ IBPy. I actually managed to get it to work too:

Code:

 
        from ib.ext.Order import Order
        from ib.ext.TagValue import TagValue
        order = Order()
        order.m_orderType = 'MKT'
        order.m_algoStrategy = 'Adaptive'
        order.m_algoParams = [TagValue('adaptivePriority','Patient')]

 

Do these advanced IB algos work if you don't subscribe to real-time market data (only trading using delayed data)?

 

IB -- how about making your algos use "pegged to mid" orders (on Island and IEX) as an option?

There is usually a lot of liquidity between the bid and ask -- in, say, a 1.95/2.00 stock -- that these algos miss out on.