Search results

And...to ask a clumsy but necessary question: just what's the principle that enables HFT/MM's to do what is literally illegal for retail investors to do? I'm sure many dif laws apply, there are different exchanges, State laws, etc, but...well what's most galling is that this doesn't appear to be...

Also, thanks for that link. Eye-opening and...wow, kind of made me really angry. The HFT's and MM's are essentially whining that their super expensive algos are getting outwitted. It's an incredibly exploitable loophole to have your algo Bid for 150+ contracts at $x simply because it sees a...

So where does that leave my real-number example above, where a MM's algo just leapfrongs my 10 x 0.65 Bid with its own 10 x 0.70 bid (in a somewhat transparent attempt to make me pay a higher price...possibly even getting hit by the same MM's selling algo if I go to 10 x 0.75)? I don't think...

Yup, that thought crossed my mind as well: i.e. the idea that it's not so much using the 1-lot as a 'trip wire' for some larger order or strategy, but rather an attempt to manipulate the MM's Bids/Asks, one purpose of which could be, as you note, to create a new midpoint. For example, I've...

Not quite sure I understand the question...I'd have to specifically have my eye on the quote monitor when the 1-lots show up to know that (IB has somewhat crappy software that doesn't make doing tick-by-tick historical forensics easy, or perhaps even possible.) So I don't know exactly what the...

I don't, of course, expect to be able to reverse-engineer some masterful investing strategy; but I like understanding things, especially those that seem odd at first glance. Thought perhaps what I'm seeing was a familiar and well-worn options-trading thing, and that someone might reply with "oh...

Yes, I understand that (about the large numbers being market makers / computer algos), but it's still somewhat strange that all of the very-small-lot quotes are for 1 contract. Not 2, not 5, always 1. Moreover, as I wrote, oftentimes all of the 1 lots often appear at once, as though they're...

Trying to understand what's going on here. I'll be watching the contracts for a given expiry date, and then out of nowhere, a bunch of the Ask sizes will go to 1. Like in this image below, which shows the Quotes for a series of May 2016 Puts. All of the other Bid and Ask sizes for this...

I'm looking for a simple (program, app, website, Excel document, whatever) that will allow me to plug in inputs including: - # Underlying shares owned (long, or short) - # of options, and their tems (e.g. strike, expiration, premium, etc) - Hypothetical future stock price movement , and then...

There are times in a fast-moving market where I have both open Bids and Offers on the same security (specifically, I'm trading options on the Montreal Exchange, but question stands for TSX stocks too, I guess). I've heard of some US brokerages offering a "self match prevention" technology...

Thanks for the answers, all. Your thoughts about the complexity of producing such a feed make sense. Didn't really think of it, since I primarily trade Canadian options on the Montreal exchange, which has relatively thin volume compared to US exchanges. Moreover, IIRC Montreal's not an open...

(Specifically I'm interested in the Montreal Options Exchange, and to a lesser extent Toronto exchange, but would be interested in US exchanges too.) I purchase Level 2 / Depth-of-Market data from IB, but I want to be able to see the sequence of the Level 2 queue; e.g. if I bid $1.50 for 10...

Oh, actually this is a Canadian underlying, whose option chain trades on the Montreal exchange...which is known for lower liquidity, more MM shenanigans. Sorry to have left that out, wasn't sure if it was relevant (for anything other than to underscore the low-liquidity issue).

My first thought too -- that MM was well-aware that OI was low, so knew he could get away with a lowball Bid, as there didn't appear to be much in the way of competing interest. While OI is on the low side (70 contracts) on the contract I'm trying to sell, the OI on the Strike a dollar below...

Yup, definitely knew the risks in getting into a relatively thin option contract, this being one of them. I regret polluting my OP with the irrelevant stuff about the $.01/$1K MM spread; I shouldn't have distracted from the main focus of my question: just whether this is basically SOP for...

So I've got a bunch of long calls I want to sell/close, with the expiration date 3 weeks away. I'm accustomed to seeing the Bid at 5 or 10 cents below an option's intrinsic value when there's only a couple days before expiration and there's very little time value left. When I found myself in...

Something I'd find really useful but can't figure out how to do: I monitor an option chain that's somewhat thinly traded -- perhaps 100 contracts traded / day -- with bid/ask spreads that are almost always in the $0.30 - $0.40 range for every contract, I assume because those quotes are the MM's...

I've just begun expanding my understanding of order types past the standard market- / limit- / stop- orders (mostly since IB offers about 20x as many types as my prev discount brokerage), and want to make sure I'm not about to expose myself to risks b/c of unusual bid/ask activity on market...

Just wondering whether the following arbitrage idea has a 'name' (as I'm clearly not the first one to have thought of something like it), and whether there's actually any merit to it. Yes, it requires a lot of capital to make work, but big banks clearly have the means. Build a position in, say...