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Sorry, but I have to disagree. 2013 was a banner year for Trend following CTAs. The market was way up. I don't see the correlation to making money when the market reverses a trend.

SPX is a single list on the CBOE. What do you expect to see in L2? FB is traded on 15 option exchanges so you may see 15 bids and 15 offers. For any SPX option, you only get top of book on the CBOE. Bob

From the side of an investor or allocator, the holy grail would be to find this type of strategy that would break even or make very small positive returns during up markets and have outside returns during large drops. I have not found one yet,

What value would you get to see all the bids and offers outside the NBBO when little of that is customer flow and most are MM markets staying outside tradable prices?

Opra L2 shows each exchange best bid/offer, not the depth outside for each exchange. What you are looking for is not a retail offering. When you consider the number of option strikes and even 5 levels of depth, that is an enormous amount of data to stream.

https://systems.cboe.com/publish/systemsapisite/cboestreamingbookdepthv1.0.pdf Good luck find a platfrom that offers this. I expect this is only for hosted solutions. Call the CBOE and they will help you.

Although I would not have called them tangible and intangible, those are risks to supply but you have not addressed the risk to demand.

Which OPRA option feed is that? I'm not aware of that one.

Who is your broker? I have never heard of an option market data feed that points out broker dealer or MM orders vs customer.

Start with one. Since nothing works all the time, after you "master" one, whatever that means, learn others and test them.

Yes, there are 5 complex order books. They accept orders as spreads where you can't be legged out.

http://www.greencompany.com/ Bob

Just call me one day.

It is very hard to compare executions with two platforms doing the same thing from the same location. Option order routing is more complex than equity routing. Orders are either sent to a SMART route or direct to an exchange. On most of our software, we pass through maker/taker option debits...

It looks like it is all lined up to me or close enough. 2893 + 17.80 - 35.75 = 275.05 THat is very close to the 2875 strike price. That is the way it should be.

Thank you srinir. I did not know that they offer more than 1 for options, but I expected he was talking about equites not options.

Can you provide a current example with a screenshot including the futures price? I'm not follow your question.

May I see a screenshot with two L2 Windows.

I do not think TOS can show more than one "Market Depth" window at a time, and it is L1, not L2.

Nope, just WEX.