auto trade options with different underlies

[Seancn]

I want to buy spy option and sell voo option (with the same expiration , strike , all call, and quantity) at the same time. No trading platform can do this. A program is needed to do this. Interactive brokers provides API to do this. Are there any other brokers or system provider providing this facility?

Particularly, I want to buy spy option at a price a little below middle price and increase the price by 0.01 every , say, 200ms until filled. At the same time, another independent thread will sell voo option at a price a little above middle price and decrease the price by 0.01 every , say, 200ms until filled.

 

[guru]

I want to buy spy option and sell voo option (with the same expiration , strike , all call, and quantity) at the same time.

I do this with IB/TWS without any other tools/software. You can create an option combo with legs in different underlyings, and trade such combo. You may not get the best execution, but not necessarily. Sometimes I get great execution. It's all about trial and error, and figuring things out.
Your idea/scenario may be worse, because I'm not sure if you can get better price by trading them separately and hoping to pay less than or near the mid.

 

[Seancn]

I tried your way, it never got filled close to middle price. I used IB JAVA API code and got filled a shy of middle price by couple cents. Now, I am looking for tools similar to what IB can provide.

 

[sepidpooy]

Legging into such a position is risky since market may move very fast and fill one side only leaving you a position in loss and no hodge

 

[traider]

the algo you described is too simple to do significantly better than mid
you should fill the less liquid voo at mid if you can and just do a more aggressive order on spy

 

[FSU]

The WEX platform may be able to do what you want. Look at their Spread Trader.
Trading Platform - WEX (tradewex.com)

 

[Seancn]

Or put it another way: what trading tool market makers use for their trading? I do not think market makers can use IB TWS manually to do their job.

 

[FSU]

Or put it another way: what trading tool market makers use for their trading? I do not think market makers can use IB TWS manually to do their job.

Did you even look at the WEX platform I mentioned above?

In answer to your question here, MM's while use a variety of platforms. Some examples would be
Actant
Actant Trading Software
BTS
BTS Edge • Up Your Options Trading Game | Blue Trading Systems
Vela
Global Leader in Data and Execution Technology - Vela | Vela (tradevela.com)

These are three that I am familiar with and they will be a substantial amount of money.

I would guess the larger MM's would use proprietary software.

 

[guru]

@FSU I contacted WEX in the past and they told me they don’t work with retail traders? Though they asked how much volume I trade and we left the subject open, meaning they may consider a trader with high enough volume.

@Seancn Your original question doesn’t seem to relate to market making. MMs aren’t desperate to buy one specific option or specific pair of options at the same time. They can trade any option and delta hedge before trading any other, and those options don’t need to be specific ones. Your originally described approach also doesn’t seem to be technically sound since underlying prices will move during the trade you described. With enough experience you could actually use IB for this because I do (accepting some slippage but sometimes getting better deals). It’s not about “trying” but knowing what you’re doing. However, I guess you could consider WEX if you have large enough volume.

 

[FSU]

@FSU I contacted WEX in the past and they told me they don’t work with retail traders? Though they asked how much volume I trade and we left the subject open, meaning they may consider a trader with high enough volume.

I've been using them for a long time and have been very happy (as a retail trader). I would say they would work best for a more active trader. I believe Lightspeed offers them as an option, I use them through Dash.

Some of the features they offer that are hard to find with other platforms include the ability to view and interact easily with the COB. Also their spread trader and algo trader programs allow you to do a lot of custom arbs.