Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
IBALGOL (Adaptive order type for IB) for live trading requested: repost
ryan clous
edited
Seeking Help Getting Started Feature Request

Quote Rob "Plum Rhinoceros" Robinson edited Sep 22, 2016
"I'd like to use the new IB Adaptive Algo for automated live trading. I am seeing some reasonably good price improvement with it (0.9 bps) for highly liquid market orders.

Can it be added to the allowed order styles please?

From IB:

The Adaptive algo order type combines IB's Smartrouting capabilities with user-defined priority settings in an effort to achieve further cost efficiency at the point of execution. Using the Adaptive algo leads to better execution prices on average than for regular limit or market orders.

Thanks!

Rob"
Are there any special commands for this order type? The algo scans for a better price for both market and limit orders. Could be an easy way to clear a large portion of commissions and add a small bump to your portfolio.

Thank you,
Ryan

2 responses
ryan clous

https://www.interactivebrokers.com/en/index.php?f=19091

ryan clous

Adaptive Algo

The Adaptive Algo combines IB's Smartrouting capabilities with user-defined priority settings in an effort to achieve further cost efficiency at the point of execution. Using the Adaptive algo leads to better execution prices on average than for regular limit or market orders.

Parameter Description Values
adaptivePriority The 'Priority' selector determines the time taken to scan for better execution prices. The 'Critical' setting scans only briefly, while the 'Patient' scan works more slowly and has a higher chance of achieving a better overall fill for your order. Critical > Urgent > Normal > Patient

        Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);

... AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
... public static void FillAdaptiveParams(Order baseOrder, string priority)
{
baseOrder.AlgoStrategy = "Adaptive";
baseOrder.AlgoParams = new List();
baseOrder.AlgoParams.Add(new TagValue("adaptivePriority", priority));

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.