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Sorry, I found the answer a little mysterious. You're probably just thinking a few steps ahead of me... but what? What index replication trade are you referring to?

Hi, Just curious if anyone has insight into typical option premiums in overseas (non-US) markets. Is the implied volatility in the European markets significantly different (higher or lower) versus the US markets? Any other differences in trend? Or is everything pretty much arbed to...

Wait, or are you complaining about missing out on the fantasy mark-to-market pricing from the halted time period yesterday?

I trade about 1200 option contracts a month. DNDN closed only up about 5-10% from Monday's closing price. Why would you go from 1600%+ to negative from a 5-10% change in underlying price?

I don't see how change in price of your options has *anything* to do with that drop. Zero, zip, nothing. As others said, it's because of implied volatility that your options were so rich in the first place. As of two days ago, DNDN could've gone to either 0 or 100 as soon as the news...

Yea, *this* bug won't be happening again. It was unexpected and therefore very frustrating, but I put in the code to dodge it. I'm still concerned about this delayed data. Is it just timestamped wrong, or is it actually late? Can I trust ask/bid coming into OnMarketData() during trading...

Well, I will say that IQ Feed is taking my latest complaint more seriously. (As in, they're responding to my emails and promising to look into it.) But I can't tell if it's just hand-holding an angry customer, or a commitment to get it fixed. In any case, tread carefully until it is fixed...

I'm certain that's not the case... I log a *lot*, so I know when different events happened. I'm certain I got the market update at 5 PM EST, placed the order at that time, and had it filled immediately. (It also conveniently placed my exit order for me, which I had to cancel. Whee.) I...

Actually, I turned away from my trading machine to my development machine to do two hours of back-testing *after* the market closed. P.S. Maybe you're used to dictating to others, but you certainly don't dictate to me.

Correct. Within Ninja, when setting up the IB connection, I had the "trade outside regular hours" option CLEARED. My strategy was setup within Ninja for 6:30 AM - 1:00 PM (PST). I walked away from my system for a few hours, came back, and couldn't even figure out what I was looking at...

No, not supposed to be entering any after-market orders. There's even a specific option in NinjaTrader that you have to select for orders outside of regular trading hours... but even that didn't save me. I have a lot of pretty depressing stories when it comes to autotrading. But every bug I...

Well, I guess both NinjaTrader and I deserve some blame too. NinjaTrader has a configurable setting, where you specify the beginning/end of your session... and no bars arrive before/after that point. I already had a check in my "bar" code that looks for and rejects stale bars arriving 10+...

IQFeed support is trying to track it down now. And I probably only lost $400, not $1k+... so I'll get over it. Still annoying, but I'll get over it.

Oh I just realized, based on my logs, that the problem is worse than I thought it was. The bar wasn't just delayed, it was completely timestamped wrong. It was giving me actual *after-hour* ask/bid prices, except marked with a *before-close* timestamp. Bottom line for anyone thinking...

A month ago I was trying to decide between several vendors... most looked roughly comparable, so I ended up going with IQFeed + NinjaTrader. I've been having strange problems with the IQFeed feed for several days, with one single symbol: TYP. Bars for TYP would arrive about 15 minutes late...

I guess what I really want to do is essentially provide liquidity, at a price that I happen to consider favorable... I believe IB doesn't market the legs of a combo order, at least not the option legs... I believe it just keeps them on its books, and waits for ask/bid to hit a price that it...

That's my question, too. I *believe* the PEG order going through BOX does avoid the adjustment/cancellation fee. See this thread I started here, also: http://elitetrader.com/vb/showthread.php?s=&threadid=161688 I wish I could ask someone authoritative. Who would know for sure...

I'm not actually trying to compete with the market makers. I'm trying to get into a larger number of contracts on a fixed vol, and split the ask/bid spread. But obviously, any static price on options doesn't work when the underlying moves... that's what I'm trying to solve.

Hi, I'm hoping for some advice from those in the know about IB's "pegged to stock" order type. http://www.interactivebrokers.com/en/software/tws/twsguide.htm#usersguidebook/ordertypes/pegged_to_stock.htm 1) Are *all* "pegged to stock" option orders routed to BOX's price improvement...

Hi all, Just to answer the question for others looking at the same thing: http://www.interactivebrokers.com/en/trading/orders/peggedStock.php?ib_entity=llc The order price can float relative to the underlying, no need to constantly cancel/replace the order.