IB's MidPrice vs Adaptive Algo

Discussion in 'Order Execution' started by Cyrix, Mar 13, 2020.

  1. Cyrix

    Cyrix

    How is IB's new MidPrice algo compared with the Adaptive algo (with the 'Normal' parameter)?
    Which one has better execution prices in general?

    Thanks.
     
  2. d08

    d08

    No direct comparison but I prefer MidPrice or market, Adaptive (normal) might be suited for low volatility but it absolutely gets destroyed in current conditions.
     
    Br1828 likes this.
  3. Cyrix

    Cyrix

    Could you tell me why you prefer Market over Adaptive? I thought anything was better than a market order.
    Thanks.
     
  4. d08

    d08

    Depends where you route. If price is moving very fast, adaptive is too slow as it waits for the std dev to decline. It also has a time element, so it will just execute later at worse prices if no normalization occurs. It's great if price moves favorably for you as you'll get massive improvement. But if it goes against you, it's bad. Use it in low vol.
     
    .sigma and Cyrix like this.
  5. Cyrix

    Cyrix

    Thank you.
     
    d08 likes this.
  6. .sigma

    .sigma

    What is adaptive?

    Also why not use a limit order instead of a market?
     
  7. d08

    d08

    How would a limit order help in a fast moving market? Price moves away, you're sitting there with a stop that's 5% away. I cannot fathom a situation where a simple limit works in a extremely volatile market.
     
  8. .sigma

    .sigma

    true, i didn’t realize you were talking about fast markets.

    Yes I liquidated a big position, using a market order a few weeks ago because I needed out ASAP, lost $900 on a market order... but I would’ve lost a lot more using a limit