IB Midprice Order

Discussion in 'Order Execution' started by Daal, Feb 11, 2021.

  1. Daal


    I have been using it lately and I have found that it has enabled me to save some money by not paying the spread. I'm only using it when I'm not in a hurry, it I was any savings would probably be offset by a move in the stock. And also, it looks like IB uses native hidden orders as I cannot see my order on the L2, so it helps not to tip off some HFTs (assuming the exchange is not selling that orderbook, which some might). But I only recently started to play with it so I could be wrong on all of this. What is your experience with it?
    Dicer, cruisecontrol and jys78 like this.
  2. d08


    Use it a lot. Seems to work alright as a slow working order. I usually split time and randomize size as well, otherwise I lift the price.
    cruisecontrol likes this.
  3. Why not place a limit order and slowly lifting the price and see where you'll get filled? At least in less liquid markets quoted "mid price" can actually be pretty shitty.
  4. Use almost always midprice now. I check after it fills against the price at finance.yahoo.com, and never filled at a bad price thus far.
    jys78 and d08 like this.
  5. Daal


    You mean a hidden order? If its not hidden the HFTs will penny jump the order. Also, its annoying to manually change it over and over
  6. When I place orders with super wide spreads I don't have the guts to start with the mid, as I almost always get a better fill with limit and slowly working it. Although I'm never in a rush to fill these as the spread is so wide I'm not getting out for a while..
    What products do you trade?
    TrailerParkTed likes this.
  7. Daal


    Equities, I assume you were referring to options?
  8. Yeah, that's my space. Spreads tend to be wide there so mid quotes are usually poor reflection of the actual tightness of the market.
  9. Fact... when you place your trade "mid price", you're generally unlikely to get a "bargain" fill mid way between the current bid/ask. You generally don't get filled until the market moves up/down such that your buy becomes the market's ask or your sell becomes the market's bid. (Yeah, I know... sometimes a MM will execute for you between the bid/ask as to what appears to be in your favor... but that's more the exception than the rule.)
    TrailerParkTed and Maverick2608 like this.
  10. It seems the algo only adjusts to become more and more agressive until filled. Consequently, I prefer to adjust the limit manually, but would like to experiment and gather data.

    "If it doesn't fill, it is resubmitted at a slightly more aggressive price. It continues this pattern of "wait and move" within the spread until it fills, is canceled, or hits the limit price cap/floor."
    https://www.interactivebrokers.eu/e... refers to any,may also earn exchange rebates
    Last edited: Feb 11, 2021
    #10     Feb 11, 2021