The Dark Ice algo is similar to an iceberg or reserve order, as it allows the user to specify a display size different from the order size, which is shown in the market. Additionally, the algo randomized the display size +/- 50%, and based on the calculated probability of the price moving favorably, it decides whether to place the order at the limit price or one tick lower than the current offer for buy orders and one tick higher than the current bid for sell orders.
To use the Dark Ice Algo
From within Mosaic:
1. From the Order Entry panel, create an order.
2. Click the Advanced icon.
3. In the Destination drop down field, select IBAlgo (at the very bottom of the list).
4. In the Algo Parameters section, choose DarkIce.
5. Specify parameters:
- Display Size - enter a size that you want displayed to the market. Note that the algo will randomize the size by 50% on either side.
- Start time/End time - change the default times at which the submitted order will start to work and be cancelled using the Start/End Time fields. The End Time supersedes the time in force. Note that the algo will stop at the designated end time regardless of whether the entire quantity has filled unless you check Allow trading past end time.
- Allow trading past end time - if checked, the algo will attempt completion by the specified end time, but will continue to work past the end time to execute any unfilled portion. This feature only applies when an End Time has been specified.
6. Submit the order.
From within Classic TWS:
1. Create an order.
2. From the Destination field, select IBAlgo.
3. Choose DarkIce as the algo strategy.
4. Enter parameters as desired:
- Display Size - enter a size that you want displayed to the market. Note that the algo will randomize the size by 50% on either side.
- Start time/End time - change the default times at which the submitted order will start to work and be cancelled using the Start/End Time fields. The End Time supersedes the time in force. Note that the algo will stop at the designated end time regardless of whether the entire quantity has filled unless you check Allow trading past end time.
- Allow trading past end time - if checked, the algo will attempt completion by the specified end time, but will continue to work past the end time to execute any unfilled portion. This feature only applies when an End Time has been specified.
5. Submit the order.
For more information on IBAlgos, see the IB Order Types and Algos page.