Hi, I just realized some accounts at IB have access to 4 extra algos (CVGX, ITG, BTIG and FoxRiver algos) in addition to Jeff & CSFB algos which everyone has access to. So I was wondering how does that work? Thanks.
I usually don't route to exchanges anymore. I find Jeff algo's execution and price improvement far superior than IB's smart router or IEX. I trade 10k-20k blocks in illiquid small caps. Huge % of ADV is traded in dark pools. You definitely need these algos when you want to get in/out very quickly.
I use DarkSeek(DS) and Patience. IB's smart router is excellent for liquid/large cap stocks but not for illiquid/small caps.
Yeah, I'm in small caps a fair amt as well. Sometimes I use IBALGO's VWAP to piece out the order over time. Do Jeff's algo's place any pegged-to-mid orders for $0.05 tick names?
Not sure about that but I think if you want to get filled at midpoint you should use CSFB's Crossfinder. It won't fill unless at midpoint or better. With Jeff I sometimes get filled at bid but most of the time at midpoint or better.
@Humble Investor I see the fees are .003 for JEFF and CSFB algos. Is that all you pay in addition to IB comms + reg fees? Or do you also pay make/take fees that the algo incurs while getting you filled?
It's not entirely clear. Using CS or Jeff algos will almost always cost significantly more in comm than IB's algos -- that much I know.
I've tried the JEFF VWAP and the CSFB crossfinder , the later aiming at midpoint as it was suggested above, but without much success. Anyone can advice on the paramaters to enter to get a better chance at execution ? When buying shall I enter the ask price rather than the bid as the WOW price in Jeffalgos a,nd as the buying price in CSFB crossfinfer to get a better chance at execution, will there be any price improvement then or will the order just hot the ask for all shares offered ? 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 - any tip related to Jeff Blitz will be most welcome) 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. Also after entering a CSFB Crossfinder order, I received the following message from IB, I can't quite figure out how it is the same as a smart marketable order, and actually only got filled on 100 shares out of at least 10k I entered in the order : Dear Trader, For your convenience, we have identified algos and/or order types that provide comparable features to ones you have recently used and that may offer significantly lower fees. Algo Used Comparable Algo / Order Type CSFBALGO:CROSSFINDER+ SMART Marketable Order