Hi I sometimes spend the day close to the screen to spread a largish order, trying to de better than the vwap. And days get very long when trading several markets... If IB algo orders work fine, those would spare me some work. Any feedback on those ? Which one works better ? also do they just sent market orders once in a while taking liquidity or place limit orders and add liquidity ? also with vwap, is there a limit on the number of shares one want to trade compared to the total shares traded that day ? Thanks Luis
Haven't used it, but looks like you can customize it to take or not take, how big % of volume, etc. https://www.interactivebrokers.com/en/?f=/en/trading/orders/vwapAlgo.php
For large equity orders I would either use vwap, an algo that can only add liquidity or find a broker that can provide access to NYSE floor brokers that can work your orders and stay on the bid, always adding liquidity. If you want to enter the trade faster, you will want access to a deep dark pool, where you can take liquidity and do volume. 1245
Take a look at our accumulate/distribute algo. Quite powerful (and I speak from personal experience on this one) read the description here: http://ibkb.interactivebrokers.com/article/1006 You can control total quantity, trade increment, time increment, order type, order/fill speed and also have some randomization plus other features which include how you want to manage the trade.
Thanks all for your replies, I will try either the vwap or the accumulate function (when needed next). I tried the Scale order a while back but didn't like it as much as checking live the market, but nowadays would enjoy more taking a few hours out of the computer, plus not so sure I improve anything over the algo execution. 12345 'If you want to enter the trade faster, you will want access to a deep dark pool, where you can take liquidity and do volume' Do you mean it's better to route orders to a dark pool than through smart when one need to move large volume ? I thought IB smart routing would check the dark pools as well but I suspect you mean darkpools not available through tws. Also are darkpools useful for non US stocks and US small caps ?
I don't use IB. You will have to ask them about their smart route, There are a number of equity dark pools out there available though broker nuetral platforms and introducing brokers that can offer more than what a firm like IB offers. I'm not saying they are better, just more choice. If you go to IB they will only offer you their dark pool. If you go to any firm that internalizes their order flow, and there are many, this is very common.
Someone recently started a thread on IB jeffalgos for small caps, but the search engine doesn't seem to find that thread back. I've tried the JEFF VWAP and another algo (CSFB crossfinder I think, aiming at midpoint possibly) without much success. Anyone can advice on the paramaters to enter to get a better chance at execution ? I'm interested in both accumulating a position over 1 to 3 days as well as trading in or out in a rush (Jeff Blitz sounds like the proper candidate for that, but I really don't want to mess up the order and end up with a large market order which will wipe out the order book several points away) Talking about small cap stocks, also those with 0.05 minimum increments) I've also used the accumulate/distribute order btw, so far it gave me better results than the Jeff and CSFB algos, but I'm pretty sure I missed how to use those properly. Thanks in advance
I think IBALGO VWAP set to passive might be the best for spreading out an order and minimizing comm/impact. It used to work for OTCBB stocks as well, but they have discontinued that for some reason.