Best Algo For Filling Options Orders

O

optionstrader2022

Hey all, I do a lot of options day trading and was considering using IBALGO market orders with the urgent setting. What is the best way to fill options orders quickly and efficiently?
 
Pay the bid or the ask, or even more by using market orders.
It won't be cheap, but you will get instant fill.

In terms of efficiency: I try to target mid-price, which may or may not fill.

I think this all boils down knowing how much slippage can your trade tolerate.
 
Every strike will be an independent market with its bid and ask, you can treat it like any other market.

These are the algos available with IB.

https://interactivebrokers.github.io/tws-api/ibalgos.html

I wouldn't use market orders, you might get unexpected results. Actually, IB will send you an email asking you to look at it if you keep sending market orders, I had one in the past. They don't like you to send market orders, they must have had complaints regarding the filling price, I assume.
 
If you really want to be an informed trader read up on linkage and what ships your order. Plus in the liquid multi-list issues - SPY, AAPL, TSLA, NVDA to name a few. There is a reasonable likelihood that the B/A under NBBO may not be the same venue. It's maddening, but it's all too common.
 
ajacobson said:
If you really want to be an informed trader read up on linkage and what ships your order. Plus in the liquid multi-list issues - SPY, AAPL, TSLA, NVDA to name a few. There is a reasonable likelihood that the B/A under NBBO may not be the same venue. It's maddening, but it's all too common.
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Can you please elaborate? All I see is how linkage is related to crypto and arbitrage between stocks that trade in multiple countries. Thanks a ton!
 
ajacobson said:
https://www.marketswiki.com/wiki/Options_Linkage

https://www.sec.gov/rules/sro/4-429

There are dozens of other sources on the internet

The only algo that has worked for us is an ISO - a sweep order on multi list.
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Thank you! I use IBKR and their site says they only allow this with stocks and warrants. Do you know of any way to do this with options on IBKR?
https://www.interactivebrokers.com/en/trading/orders/sweep-to-fill.php#:~:text=To%20do%20this%2C%20first%20display,sweep%2Dto%2Dfill%20order.
 
Can't speak to IB and all I can do is speculate this has to do with a routing deal. Not PFOF, but some routing arrangement. Depending on size and frequency of your orders I would also read up on referenced orders. It's the industry's dirty secret in my opinion and I suspect it's why IB doesn't allow option sweep orders.
I won't recommend a brokerage relationship - it just opens a Pandora's box.
Should you care I have a bio. on marketswiki.
 
ajacobson said:
Can't speak to IB and all I can do is speculate this has to do with a routing deal. Not PFOF, but some routing arrangement. Depending on size and frequency of your orders I would also read up on referenced orders. It's the industry's dirty secret in my opinion and I suspect it's why IB doesn't allow option sweep orders.
I won't recommend a brokerage relationship - it just opens a Pandora's box.
Should you care I have a bio. on marketswiki.
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Great information! Thank you. While I won't ask for a brokerage relationship, do you know of any brokers that do offer ISOs for options?
 
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