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I trade options at IB, but one data point that none of their transaction / activity reports lets me easily view is what the UNDERLYING was trading at when I made an option buy/sell. IOW, in their reports, I can see that I bought a MSFT September Call on 7/18/16 at 1:08pm, but I want to know...

Yes, that's exactly why I started this thread -- I'm looking for recommendations of brokers who offer cross-margining. Barring that, I'd even take general rec's for brokers who employ the kind of level-headed intelligent humans you describe. I don't want to turn this into an IB-bashing thread...

My portfolio consists of equities and equity-options denominated in both US and Canadian dollars. As it's gotten larger and more diversified, I've had trouble tracking just how exposed i am to the USD/CAD dollar, in what magnitude, and in which direction, etc. When it consisted mostly of index...

Anyone else weigh in on this? IB told me that they don't offer cross-margining, although (a) they tell me many clients have asked about it, and more interestingly (b) it's NOT a regulatory thing, but rather an internal policy not to...so still holding out hope to find a broker who offers it. No...

We're talking about real-time / streaming / tick-by-tick data. Any broker you have an acct with will provide free stock (or option) quote lookups, whereby you type in a symbol and get the quote. More advanced traders want to monitor quotes in true real-time, so they need something that will...

IB limits you to 100 simultaneous real-time quotes (via their TWS software, or Excel DDE API). They offer 'booster' packs for $30 / 100 additional quotes / month, but that's going to get expensive pretty fast, since they treat each line of market data as a separate quote, even within the same...

I ran into a Margin issue relating to a situation where I held positions on an interlisted stock (Bank of Montreal) in BOTH markets; BMO trades -- and has an options chain -- on both the TSX (Toronto) and NYSE. I've been reading up on this, and If I'm understanding correctly, If I held...

My understanding is that BS is a better option for European style options (rather than American, which is what I'm dealing with)...but would each model result with dramatically different IV figures? If not, then I'm not too picky...

Yes, I wrote to them yesterday asking the exact same thing. The only info I have to this point is what they'd written to me a few months ago about them using binomial trees and updating the IV values in TWS / data stream every ~2 mins. I emailed them today asking how I could do it myself in the...

I'm not quite sure which part of my question is causing the confusion, so I'll just re-state it as simply as possible. Here's the data that my IB real-time data stream pulls into Excel: When the Bid changes (let's use the 17-Strike) from $0.50 to $0.75, the new Bid ($0.75) is updated by IB's...

Thanks - yes, I had actually seen that page (did a fair bit of googling before posting here), though didn't find much actionable info. Mostly just confused commenters talking past each other.

OK thanks. And...not that I'm not appreciative of your replies to this thread, but feels like I'm in exactly the same boat as I was at the outset: just how do I do that? How do I "build my own binomial model"?

Perhaps I'm not understanding your questions, then, since I tried to lay out exactly what I was asking, including pics and examples, in my earlier post. re: precision, if I were to say that I wanted IV percentages it to 1 decimal place (e.g. 27.1%)...is that reasonable or a tall order? Zero...

So...what's the formula and inputs that I need? I'm confused as to whether you're saying that what I've described is something I'll be able to calculate myself in Excel or not...and if it is then just how do I do it?

So sounds like you're saying that tick-by-tick real-time IV calculations would indeed be too much for Excel to handle? I mean...yes, I made the post hoping that it's something that I could indeed have Excel update in real-time. For instance, here's what the columns of my Excel spreadsheet look...

IB's streaming real-time data for Implied-Bid-Volatility and Implied-Bid-Volatility are NOT updated in real-time. (Acc to their CS: "For American style options are calculated by Binomial trees" and "updated on average every 2 minutes".) But I pull IB's streaming data into Excel via DDE, and...

So...is this basically what stock manipulation looks like or what? Same 1-lots show up on a daily basis and have been for months. Always in last ~20 mins of trading.

Feel free to check it out on your own - security is AYA (on TSX, not US-side). Happened again today, just like it always does. Don't think it's the MM reducing their asks to 1, b/c when i look at the market depth, I see the exact same 10-lots as existed at 3:43pm still there and haven't...

Sorry, so I'd meant to reply to this thread with more "evidence" of what this looks like, and sure enough it still happens literally every day at some point in the last 30 minutes of trading. Here's are the Bids/Asks at 3:43pm and then 7 minutes later at 3:50pm. These 1-lots show up like...

But isn't that, if I'm understanding correctly, specifically what's prohibited...? i.e. "Getting MM's to move in response to an order"? If the threshold for illegality isn't simply a black-and-white examination of what percentage of an HFT's order flow is yanked before execution (isn't the #...