AON (All-or-None) for complex orders

[thecoder]

Which broker does offer this: AON (All-or-None) order type for complex orders as a whole?
Ie. if a strategy has multiple legs like in spreads, then the whole shall be filled only if all legs can be filled.
If yes, does it cost extra?

 

[stepandfetchit]

Are you confusing terms? AON : "https://www.sec.gov/fast-answers/an... All-Or-None (,they are executed or cancelled."
This is related to lot size (all or none).

TOS supports option orders with up to 4 legs. Greater than 4 legs would require separate orders. I am unaware of a broker supporting atomic option trades with greater than 4 legs. (Each order either fills or does not fill, there are no partial fills other than related to lot size).

 

[thecoder]

@stepandfetchit, the AON shall mean the whole order. Order here meaning all legs as a whole.
Ie. what happens if say all but one leg can be filled?

 

[destriero]

You fucking moron. AON is quantity on the ticket, not the legs. Either the order is marketable or not. If you place a 100-lot AON it must fill 100 contracts or none at all.

 

[thecoder]

You fucking moron. AON is quantity on the ticket, not the legs. Either the order is marketable or not. If you place a 100-lot AON it must fill 100 contracts or none at all.

@destriero, you brainless schmuck: my question goes beyond your horizon.
I know the usual meaning of AON, but the question is about more, that you lack to grasp.
I ask this, to know whether any broker offers such an advanced use of it.

 

[destriero]

@destriero, you brainless animal: my question goes beyond your horizon.
I know the usual meaning of AON, but the question is about more, that you lack to grasp.
I ask this, to know whether any broker offers such an advanced use of it.

You dump phuck it would materially alter the spread, irretrievably. Say you're looking to fill a natural 1122 asym-condor and the MMer looking in the COB wants to fill only the two lot spread. How would the limit price be adjusted? It can't.

You're trying to fill an iron fly combo-order and the counter-party fills your straddle leaving you naked... at what price?

You oxygen thief. End it.

 

[destriero]

Hey dude, why don't you tell us moar about those awesome free puts you modeled? I'd love to make you a market. We're going to have to escrow your $30 account, however.

 

[destriero]

And any order can be filled at a price. Dumbphuckitis strikes you and you trade a 1000 point ITM leg in lieu of the synthetic OTM equivalent? WE WILL FILL YOU but you will be walking funny for a long time.

 

[thecoder]

This is easily doable at broker level as follows:
1) first know all the legs of the grand order
2) wait till all legs are fillable
3) just fill all
Otherwise it stays in broker's book, and user can decide whether to continue waiting or canceling or modifying etc.
I will offer this use-case of AON order type in my own exchange and brokerage

 

[guru]

This is easily doable at broker level as follows:
1) first know all the legs of the grand order
2) wait till all legs are fillable
3) just fill all
Otherwise it stays in broker's book, and user can decide whether to continue waiting or canceling or modifying etc.
I will offer this use-case of AON order type in my own exchange and brokerage

It is not possible to do this any differently. And broker doesn’t matter. All exchanges simply fill all legs at the same time. That’s why you’re buying a spread or multi-leg orders. Nobody creates strategies for the purpose of not trading them as a whole. Your whole order with all legs must get filled or nothing gets filled.
Only some brokers allow advanced orders where you can try to fill each leg separately, in which case each leg would need to be ordered separately (by the broker if you don’t do it yourself).