Ib's Jeff Algos

Discussion in 'Order Execution' started by Humble Investor, Jun 19, 2016.

  1. I'm trying to route a large order for a small cap stock via Jeff algos for the first time. What does WoW price mean? What is the difference between minimum take size and minimum fill size? Where can I get a clear definition of these stuff? IB's guide is not clear at all!!

  2. 1245


    Why don't you call IB and ask?
  3. INB4 World of Warcraft.
    INB4 World of Warcraft :D
    Bob111 likes this.
  4. Bc Ib's CS sucks, and generally the point of a forum is share opinion and information.
    MoreLeverage likes this.
  5. Just to let everyone know, I executed my trade using Jefferies DarkSeek and it was absolutely great. 20% of average daily volume in a single trade at midpoint without moving the price.
    I will never ever route to the exchanges again, even for small orders.
  6. Is that listed as "SEEK" in the pulldown? Did you wind out what WoW means?
  7. No, it's listed as DS. Seek routes to both exchanges and dark pools.
    I still don't know what WoW means. didn't want to contact IB. WoW is optional anyway. I just used a midpoint limit order and it executed instantly.
  8. Tim Smith

    Tim Smith

    Did you find this page (https://www.interactivebrokers.com/en/software/api/apiguide/tables/jeffalgoparameters.htm) ?

    It says:

    WoWPrice - Would or Work - The price at which the user is willing to complete the order. Used if no WoW reference is specified.

    WowReference - Used with WoW price field. If WoW price is not submitted, the Reference price can be submitted for processing (any of "Market", "Inside_NBBO_Price", "Arrival Price", "PNC", "Open", "BPS_Arrival", "Price", "OPP", "Midpoint")

    If you then put your Google-Fu to work, you will come up with the following page, which albeit not specific to Jeff I would guess is probably a similar concept:


    Which states :

    Would or Work
    Two-Stage Customized Execution Schedule

    Would-or-Work is designed to be aggressive within a narrow range of the strike price, then stay involved by working along with volume if the stock moves away.

    Key Points:

    • Within the user-specified discretionary range, the order is treated as an 'I would' order and worked aggressively in both displayed markets and dark pools
    • Outside of this range the order will be worked along with volume; a 'max work rate' parameter is available to the user

    ***But as others have said already, if you want the real answer then you have to get it from the horse's mouth (i.e. IB).***
    Last edited: Aug 13, 2016
  9. Cyrix


    Hi Humble Investor,

    Do you know if there is a parameter to make the Darkseek order only execute at mid or better without a specified limit price (like Crossfinder)?

    I have tried to use Darkseek with a limit price at mid, but the market often moves and the order never fills because the limit price then becomes out of the bid/ask range.

  10. I don't think DS has midpoint functionality. The good thing about DS is that it has min fill size, so you can avoid odd-lots.
    #10     Oct 12, 2017