Autospreaders for stocks.

[Robert Morse]

Thanks Robert, do you know if realtick hooks up to interactive brokers?

Right now id rather use IB unless i have no choice but to get another stock broker.

You would have to ask Realtick. Your profile says Canada. We can't offer accounts in Canada.

 

[2rosy]

You also posted an autospreader for IB here on ET when you were still Rosy2. It was a jar file, IRRC, no source code. I think it was called spreaderV1. This was years ago, at least 5 or 6 years ago but the IB API hasn't changed that much.

forgot about that. not sure if this works but here
https://miraclespread.wordpress.com/

 

[jtrader33]

I dont think ib requotes the limit order over snd over again. I believe that once your desired spread price is achievable it sends a limit order that removes liquidity and then sends a market order for leg number 2.

This action is quite different from a limit order that is being requoted to try and get hit at the bid (assuming it is trying to buy) and is constantly changing with the market as the legs move up or down.

This method is what TTs autospreader does and it works really well to achieve a desirable spread price without using market orders.

I'm pretty sure that's exactly what it does (or claims to at least). See here: https://www.interactivebrokers.com/en/software/tws/usersguidebook/algos/combo_orders.htm

 

[rolando87]

I'm pretty sure that's exactly what it does (or claims to at least). See here: https://www.interactivebrokers.com/en/software/tws/usersguidebook/algos/combo_orders.htm

See where it says that once "the spread becomes marketable " it submits a limit order then a market order... pretty sure marketable means that only when the spread is at the spread price you want to buy at or lower does it submit the orders. this is not the same as submitting a limit order before the spread reaches your desired spread price. the latter is much better because it is displaying and quoting size in the hopes that someone will take market and hit your limit order bid. this means you get a better price than if you took market on the spread itself. sometimes IB wont even send the order out until its damn cetain it will get the spread price meaning if your spread price you wish to buy at is exactly 1.00 the offer of the spread must be either 0.99 sometimes before it even sends the order out.

If you quoted a limit order first ( like an autospreader does) you could possibly get the spread at 1.00 when the spread is offer price is at 1.01... because someone hit your bid.

A small difference but makes a big difference overtime.

 

[xandman]

How could unchecking " Non-Guaranteed" be anything but simply putting in a simple limit order for the spread? There is no way IB would assume the risk unless they have an edge over you. Fishy. This has to be stocks only and not futures.

 

[rolando87]

How could unchecking " Non-Guaranteed" be anything but simply putting in a simple limit order for the spread? There is no way IB would assume the risk unless they have an edge over you. Fishy. This has to be stocks only and not futures.

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I still think even if you select non-guaranteed it will still only send the first limit order out as soon as the spread price is marketable. Marketable meaning you'll get filled right away similar to taking a market order.

 

[oversea]

Id say a few hundred a month is whatd id spend on a piece of software to start out.

I don't think any of the solutions that I saw were at that price point.
Have you had a look at Redi?

 

[jtrader33]

See where it says that once "the spread becomes marketable " it submits a limit order then a market order... pretty sure marketable means that only when the spread is at the spread price you want to buy at or lower does it submit the orders. this is not the same as submitting a limit order before the spread reaches your desired spread price. the latter is much better because it is displaying and quoting size in the hopes that someone will take market and hit your limit order bid. this means you get a better price than if you took market on the spread itself. sometimes IB wont even send the order out until its damn cetain it will get the spread price meaning if your spread price you wish to buy at is exactly 1.00 the offer of the spread must be either 0.99 sometimes before it even sends the order out.

If you quoted a limit order first ( like an autospreader does) you could possibly get the spread at 1.00 when the spread is offer price is at 1.01... because someone hit your bid.

A small difference but makes a big difference overtime.

One last try...the word marketable isn't anywhere to be found and it purports to do exactly what you want.

• REL + LMT, where one or both of the legs are submitted as a simulated relative order (at the bid for a buy and at the ask for a sell). If only one leg fills, the second leg is resubmitted as a limit order.
• REL + MKT,where one or both of the legs are submitted as a simulated relative order (at the bid for a buy and at the ask for a sell). If only one leg fills, the second leg is resubmitted as a market order.

 

[xandman]

• REL + LMT, where one or both of the legs are submitted as a simulated relative order (at the bid for a buy and at the ask for a sell). If only one leg fills, the second leg is resubmitted as a limit order.

What if the second leg price runs away from you? It resubmits the LMT at different prices? Obviously, the desired price will not be achieved.

 

[jtrader33]

What if the second leg price runs away from you? It resubmits the LMT at different prices? Obviously, the desired price will not be achieved.

Well, that's the choice you have to make between REL+MKT and REL+LMT. All spreaders face the same issue.