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Does anyone use IBKR's adaptive algo?


muscleman
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If the bid is 20.10 and ask is 20.15, Is it basically putting an order into the market at 20.11, and if not filled, move up 1 cent to try again? I think this kind of activity may cause the market to go up as it is seeing some aggressive bidder coming in. Or is it doing something smarter?

 

I am really pissed when i put in a buy adaptive order with patient urgency today with a limit of 20.6, and after market opened, it remained at 20.30 bid and 20.49 ask for 8 minutes without getting me filled, and then price went way up to 21.8. I called them to ask what "patient" really means but they refuse to answer.

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yeah, I don't use it.  They are constantly sending messages - 'try adaptive algo' and the more annoying 'warning, you have used a market order!' when I use market orders.  I know when I want to use a market order.  I don't need a warning against it each time.  By and large, regular old limit orders work best for me at IB.  Much better than the firms that route to citadel or god knows where and orders sit unexecuted.

 

If the bid is 20.10 and ask is 20.15, Is it basically putting an order into the market at 20.11, and if not filled, move up 1 cent to try again? I think this kind of activity may cause the market to go up as it is seeing some aggressive bidder coming in. Or is it doing something smarter?

 

I am really pissed when i put in a buy adaptive order with patient urgency today with a limit of 20.6, and after market opened, it remained at 20.30 bid and 20.49 ask for 8 minutes without getting me filled, and then price went way up to 21.8. I called them to ask what "patient" really means but they refuse to answer.

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It essentially splits your order in 100-share chunks so you don't move the market price.

 

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

 

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

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It essentially splits your order in 100-share chunks so you don't move the market price.

 

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

 

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

 

Well, I was buying a 2 bn company today. Bid was 29.2 and ask was 29.24. I put in an adaptive limit order at 29.24 but only got 200 shares filled, and price immediately jumped up to 29.28/29.36. I had a similar experience with another stock where the moment I put the order in, the price jumped. I won't think it is coincidence because I was staring at the screen for minutes when I was doing the last round of sanity checks and price was not moving, but the moment I click the confirm button, the bid/ask changes. That's just too unreal to be coincidence.

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It essentially splits your order in 100-share chunks so you don't move the market price.

 

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

 

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

 

Well, I was buying a 2 bn company today. Bid was 29.2 and ask was 29.24. I put in an adaptive limit order at 29.24 but only got 200 shares filled, and price immediately jumped up to 29.28/29.36. I had a similar experience with another stock where the moment I put the order in, the price jumped. I won't think it is coincidence because I was staring at the screen for minutes when I was doing the last round of sanity checks and price was not moving, but the moment I click the confirm button, the bid/ask changes. That's just too unreal to be coincidence.

 

Sounds like volume is pretty low for that company and you got stuck in the market maker shuffle.

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It essentially splits your order in 100-share chunks so you don't move the market price.

 

For larger, more liquid names you can put the order in as limit and you'll likely get the fill quick.

 

For adaptive, if the stock gaps up or gaps down, you'll be buying throughout the move. Sometimes it's too slow / too smart for its own good if the volume is already there.

 

Well, I was buying a 2 bn company today. Bid was 29.2 and ask was 29.24. I put in an adaptive limit order at 29.24 but only got 200 shares filled, and price immediately jumped up to 29.28/29.36. I had a similar experience with another stock where the moment I put the order in, the price jumped. I won't think it is coincidence because I was staring at the screen for minutes when I was doing the last round of sanity checks and price was not moving, but the moment I click the confirm button, the bid/ask changes. That's just too unreal to be coincidence.

 

Sounds like volume is pretty low for that company and you got stuck in the market maker shuffle.

 

Volume is low? There is already 842k shares today. This is not small at all, especially comparing to the size I am trading.

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If you were willing to pay the ask why didn't you enter a limit order at the ask?

 

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

 

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

 

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

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If you were willing to pay the ask why didn't you enter a limit order at the ask?

 

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

 

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

 

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

 

Yep, but the most annoying trades are those where your bid never gets a fill, but then you see a trade for 0.01 penny higher a microsecond later. While you can only trade in 1 penny increments some HF trade can do smaller increments and suck up all the liquidity. At least that’s my take of it.

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yeah, I don't use it.  They are constantly sending messages - 'try adaptive algo' and the more annoying 'warning, you have used a market order!' when I use market orders.  I know when I want to use a market order.  I don't need a warning against it each time.  By and large, regular old limit orders work best for me at IB.  Much better than the firms that route to citadel or god knows where and orders sit unexecuted.

 

If the bid is 20.10 and ask is 20.15, Is it basically putting an order into the market at 20.11, and if not filled, move up 1 cent to try again? I think this kind of activity may cause the market to go up as it is seeing some aggressive bidder coming in. Or is it doing something smarter?

 

I am really pissed when i put in a buy adaptive order with patient urgency today with a limit of 20.6, and after market opened, it remained at 20.30 bid and 20.49 ask for 8 minutes without getting me filled, and then price went way up to 21.8. I called them to ask what "patient" really means but they refuse to answer.

 

10 years now I have gotten how many 100 of those "warning you are using a market order emails".  IT DRIVES ME CRAZY.  Worst run company.

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If you were willing to pay the ask why didn't you enter a limit order at the ask?

 

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

 

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

 

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

 

Yep, but the most annoying trades are those where your bid never gets a fill, but then you see a trade for 0.01 penny higher a microsecond later. While you can only trade in 1 penny increments some HF trade can do smaller increments and suck up all the liquidity. At least that’s my take of it.

 

FWIW, I use IB's adaptive algo all the time for all kinds of stocks and get great fills. For most stocks I use it on normal urgency and more illiquid stuff I used the patient setting. Merrill's free trades are nice, but the execution is the worst of all the brokers I use (Schwab, TD, Fidelity, IB, and Merrill).

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If you were willing to pay the ask why didn't you enter a limit order at the ask?

 

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

 

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

 

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

 

Yep, but the most annoying trades are those where your bid never gets a fill, but then you see a trade for 0.01 penny higher a microsecond later. While you can only trade in 1 penny increments some HF trade can do smaller increments and suck up all the liquidity. At least that’s my take of it.

 

FWIW, I use IB's adaptive algo all the time for all kinds of stocks and get great fills. For most stocks I use it on normal urgency and more illiquid stuff I used the patient setting. Merrill's free trades are nice, but the execution is the worst of all the brokers I use (Schwab, TD, Fidelity, IB, and Merrill).

 

Which broker do you think has the best execution? I've tried out TD, Fido and IB. Initially I have my bigger account in IB and it usually has worse fill, but after I moved the account to TD, I notice bigger accounts have worse fills in general. I see the same behavior of getting a small partial fill and price moves up.

 

 

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If you were willing to pay the ask why didn't you enter a limit order at the ask?

 

In my experience with lightly traded stocks, a limit order at the ask will only fill 100 shares and then the bid will move to one penny over your limit order which is of course why market orders are good to use when filling the order is more important than scalping a couple pennies.  Buth then, a market order can really stick you with some bad fills, hence the allure of the adaptive algo, but alas it has its problems too.  Ain't no such thing as a free lunch...

 

Free trades at Merrill Edge are nice because you can split your order into multiple orders for free (assuming you are within your monthly allotment of free trades). But then Merrill won't trade many low price/volume stocks anymore.

 

Years ago, I absolutely never used market orders, but over the past 10 years, I find sometimes they are just the only way to get a fill.

 

Yep, but the most annoying trades are those where your bid never gets a fill, but then you see a trade for 0.01 penny higher a microsecond later. While you can only trade in 1 penny increments some HF trade can do smaller increments and suck up all the liquidity. At least that’s my take of it.

 

FWIW, I use IB's adaptive algo all the time for all kinds of stocks and get great fills. For most stocks I use it on normal urgency and more illiquid stuff I used the patient setting. Merrill's free trades are nice, but the execution is the worst of all the brokers I use (Schwab, TD, Fidelity, IB, and Merrill).

 

Which broker do you think has the best execution? I've tried out TD, Fido and IB. Initially I have my bigger account in IB and it usually has worse fill, but after I moved the account to TD, I notice bigger accounts have worse fills in general. I see the same behavior of getting a small partial fill and price moves up.

 

That experience of having a small partial fill and then seeing the price move up is why I like IB's adaptive algo so much. It simply hasn't happened to me with the algo.

 

Of the others that I've tried, it seems like Fidelity might have the best execution, even for larger accounts.

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That experience of having a small partial fill and then seeing the price move up is why I like IB's adaptive algo so much. It simply hasn't happened to me with the algo.

 

Of the others that I've tried, it seems like Fidelity might have the best execution, even for larger accounts.

 

Thank you! I tried the adaptive algo for a while and found that sometimes as IB is scanning between bid and ask, stock starts to move up without me getting any fill. I wonder if it is moving because IB is scanning and detected by other HFTs, or if it is just coincidence. Have you experienced this?

Sometimes IB scans and fills a portion of my order and scans again and fills another portion later. Have you seen them doing this?

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That experience of having a small partial fill and then seeing the price move up is why I like IB's adaptive algo so much. It simply hasn't happened to me with the algo.

 

Of the others that I've tried, it seems like Fidelity might have the best execution, even for larger accounts.

 

Thank you! I tried the adaptive algo for a while and found that sometimes as IB is scanning between bid and ask, stock starts to move up without me getting any fill. I wonder if it is moving because IB is scanning and detected by other HFTs, or if it is just coincidence. Have you experienced this?

Sometimes IB scans and fills a portion of my order and scans again and fills another portion later. Have you seen them doing this?

 

This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

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This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

 

Thank you! What I am looking for for larger orders is that they can fill some, wait for a bit, and fill more, wait a bit, and fill more.

Do you see that happening when you have adaptive order?

 

The other question I have is, do you know if they reset their scan time when bid/ask moves? If that’s the case then the order may never get filled when bid/ask is constantly changing.

 

Lastly, I noticed a much higher chance to be filled in NYSE when using this order type. Not sure if I have enough data sample to prove that though.

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This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

 

Thank you! What I am looking for for larger orders is that they can fill some, wait for a bit, and fill more, wait a bit, and fill more.

Do you see that happening when you have adaptive order?

 

The other question I have is, do you know if they reset their scan time when bid/ask moves? If that’s the case then the order may never get filled when bid/ask is constantly changing.

 

Lastly, I noticed a much higher chance to be filled in NYSE when using this order type. Not sure if I have enough data sample to prove that though.

 

Yeah, the behavior of filling some and waiting and then filling some more is what I typically see with the adaptive orders. Sometimes if the price puts my limit "in the money" I will start getting fills in quick succession. Not always but sometimes (sometimes my limit will be below the bid/above the ask and the algo won't get me a fill for a while). When it doesn't happen, I usually adjust my limit price to slow it down, unless I am eager to get shares.

 

I think they must reset the parameters depending on price moves, volume, etc, but I don't know exactly what they do.

 

Never compared the different exchanges with the algo.

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This sometimes happens with smaller and less liquid stocks on the "normal" urgency setting. When I switch to "patient" urgency I don't drive the stock up. I think no matter what though you have to be patient with large orders if you want to avoid moving the market.

 

Thank you! What I am looking for for larger orders is that they can fill some, wait for a bit, and fill more, wait a bit, and fill more.

Do you see that happening when you have adaptive order?

 

The other question I have is, do you know if they reset their scan time when bid/ask moves? If that’s the case then the order may never get filled when bid/ask is constantly changing.

 

Lastly, I noticed a much higher chance to be filled in NYSE when using this order type. Not sure if I have enough data sample to prove that though.

 

Yeah, the behavior of filling some and waiting and then filling some more is what I typically see with the adaptive orders. Sometimes if the price puts my limit "in the money" I will start getting fills in quick succession. Not always but sometimes (sometimes my limit will be below the bid/above the ask and the algo won't get me a fill for a while). When it doesn't happen, I usually adjust my limit price to slow it down, unless I am eager to get shares.

 

I think they must reset the parameters depending on price moves, volume, etc, but I don't know exactly what they do.

 

Never compared the different exchanges with the algo.

 

 

thank you! Do you usually buy during a pull back or during a break out when price is moving fast? What’s the typical order size, if you don’t mind?

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