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.
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.
Could you tell me why you prefer Market over Adaptive? I thought anything was better than a market order. Thanks.
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.
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.
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
good tips here... thanks d08 I tried adaptive algo in the past trying all settings and overall on average saw worse slippage over 100+ trades than just buying with a market order now thinking about changing that to: - buy at LMT current price - modify order to market order after 30 to 50 seconds if not filled AAPL, AMZN etc good idea? or should I just use one of IBs algos? which one?
This is what I'm doing in my automated trading software. Suppose I want to buy and there is a spread between bid and ask price larger than the smallest price step (e.g. 0.03 USD gap on a US ETF). Then I submit a LMT price between bid and ask (e.g. bid + 0.01) and wait a minute. If I don't get filled I modify the price to the ask price and get filled. My experience with liquid ETFs is that I mostly get filled between bid and ask.