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

Discussion in 'Retail Brokers' started by def, May 25, 2016.

  1. def

    def Sponsor

    [​IMG]
    Marketable orders generally result in a fast fill. Non-marketable orders may deliver a better price, but may take a long time to execute and may not even get filled. Enter the Adaptive Algo, the newest member of our growing IB Algo family. The Adaptive Algo aims to deliver the best of both worlds. By adapting to market conditions, it attempts to achieve the fastest fill at the best all-in price.

    • Most useful when the spread is wide, but could also be helpful when the spread is only one tick.
    • Works with any quantity. The adaptive order will automatically break large orders into smaller chunks to avoid overwhelming the market.
    • Easy to use. Just set the buy/sell action and order quantity, then select the algo from the order types list.
    It can be used as an Adaptive Market or Adaptive Limit order depending on your objective.

    • Adaptive Market - Unlike a simple market order that hits the ask and fills (for a buy order), the Adaptive Market buy order dynamically selects and varies the price in an effort get a fill at best all-in price.
    • Adaptive Limit - Works similar to the Adaptive Market order, but uses the limit price as a cap. Like a simple limit, the Adaptive Limit will only fill at the specified limit price or better.
    The user can tweak the behavior of the algorithm by setting the urgency from the drop-down selector. The available choices are: critical, urgent, normal (the default) and patient.

    Like all of our IB Algos, you can set up an Adaptive order in both the Mosaic and the Classic TWS interfaces. You select an IB Algo just as you would other order types, using the Order Type drop down list.


    Marketable orders generally result in a fast fill. Non-marketable orders may deliver a better price, but may take a long time to execute and may not even get filled. Enter the Adaptive Algo, the newest member of our growing IB Algo family. The Adaptive Algo aims to deliver the best of both worlds. By adapting to market conditions, it attempts to achieve the fastest fill at the best all-in price.

    • Most useful when the spread is wide, but could also be helpful when the spread is only one tick.
    • Works with any quantity. The adaptive order will automatically break large orders into smaller chunks to avoid overwhelming the market.
    • Easy to use. Just set the buy/sell action and order quantity, then select the algo from the order types list.
    It can be used as an Adaptive Market or Adaptive Limit order depending on your objective.

    • Adaptive Market - Unlike a simple market order that hits the ask and fills (for a buy order), the Adaptive Market buy order dynamically selects and varies the price in an effort get a fill at best all-in price.
    • Adaptive Limit - Works similar to the Adaptive Market order, but uses the limit price as a cap. Like a simple limit, the Adaptive Limit will only fill at the specified limit price or better.
    The user can tweak the behavior of the algorithm by setting the urgency from the drop-down selector. The available choices are: critical, urgent, normal (the default) and patient.

    Like all of our IB Algos, you can set up an Adaptive order in both the Mosaic and the Classic TWS interfaces. You select an IB Algo just as you would other order types, using the Order Type drop down list.

    Read More
     
    dunleggin, conduit, CBC and 1 other person like this.
  2. Thanks, def. Interesting concept. From the description, it's not quite clear to me how this would work.

    Let's consider a very simple example. Suppose the top of the CME limit order book in the ES (S&P 500 e-mini futures) is 2000 contracts bid at 2080.25, 3000 contracts ask at 2080.50.

    I place a regular market order to buy 10 contracts. The result would be that I'll get filled 10 contracts at 2080.50 within half a second or so. Now, if I choose the new "adaptive market" order instead, what would happen?
     
    Last edited: May 25, 2016
    d08 likes this.
  3. def

    def Sponsor

    In this case, probably no difference as the market is one tick wide and the bid/ask sizes large. However, depending on your settings, the order would start out on the bid before lifting the offer. If you didn't read the "read more" link, click here, it has a bit more detail: https://www.interactivebrokers.com/en/index.php?f=19091
     
  4. Can we access that via the API?
     
  5. Thanks, def. The explanation pointed to by the "read more" link is too vague. However, from your comment, I think I get the idea, which is this:

    If the bid/ask spread at the top of the book is no wider than 1 tick, and the bid/ask size at the top of the book is smaller than the order size, then "adaptive market" order is equivalent to the "regular market" order. Otherwise, the "adaptive market" order would insert itself inside the bid/ask spread, and if/when the bid/ask spread changes, the order would automatically change to fit inside that new bid/ask spread.

    Is that correct?
     
  6. d08

    d08

    While this is a good addition, it would be fantastic if IB offered all the Accumulate/Distribute parameters access through the API.
     
  7. def

    def Sponsor

    I believe yet but it is a function of how you set the parameters.

    For the A/D question for API access - I would suggest you make a feature request as that is a good gauge for client demand. If you need details PM me and I'll pass you a link.
     
  8. d08

    d08

    There has been a feature request for full API access to A/D since 2012. I understand it's difficult impossible to implement most requests but since this functionality is already in the platform, this should be easier.
     
  9. Is there any statistical or at least anectdotal evidence that this is an effective order type? Has it been tested internally? I tried it paper IB, but it doesn't work.

    I also found that I couldnt attach bracket orders to it.

    Overall, the possible Benefits to it are outweighed by the loss of functionality. At least until proven otherwise...
     
  10. d08

    d08

    It's not really an order type but it's extremely helpful in splitting up large orders. Of course via the API, you can let your code do it for you but I prefer something that's in the TWS.

    How would you deal with large orders then?
     
    #10     Jun 24, 2016