combo order matching directly on options exchanges?

[Bry]

Quote from 489:

Nope. Wrong.

http://en.wikipedia.org/wiki/Dark_liquidity

 

[ktm]

I've had legs of combos get executed on the CME and never see the print at all. I may be the only one that dealt that contract that day - and I definitely bought it and own it - and the volume on the daily bulletin for that day was ZERO.

Dark pool? I have no idea.

 

[trader42]

So I would still like to understand more on the complex order execution engines.

Here a description for ISE:

http://www.ise.com/WebForm/viewPage.aspx?categoryId=228

While here is the CBOE:

http://www.cboe.com/cob/cob.aspx

So when this above says "Max ratio 3:1", would an order with ratio 1:2:3 like:

1 $100 PUT
2 $100 CALL
3 $110 PUT

made it into the engine?

Thanks

 

[trader42]

Quote from ktm:
I've had legs of combos get executed on the CME and never see the print at all.

Here is the NYSE definition of "crossing orders":

http://rules.nyse.com/NYSE/Help/Map/rules-sys81.html

Both ISE and CBOE have fees for crossing orders:

http://www.ise.com/assets/documents/OptionsExchange/legal/fee/fee_schedule.pdf
http://www.c2exchange.com/publish/feeschedule/cboefeeschedule.pdf

so one might conclude that "crossed trades" are making into these exchanges ... Although it is unclear how they would show up on the tape.

 

[FSU]

Quote from trader42:

So I would still like to understand more on the complex order execution engines.

Here a description for ISE:

http://www.ise.com/WebForm/viewPage.aspx?categoryId=228

While here is the CBOE:

http://www.cboe.com/cob/cob.aspx

So when this above says "Max ratio 3:1", would an order with ratio 1:2:3 like:

1 $100 PUT
2 $100 CALL
3 $110 PUT

made it into the engine?

Thanks

It would be eligible to go into the COBB, whether it goes there or not is up to your broker. Each broker has different criteria for sending an order to the COBB or letting their floor broker hold the trade.

 

[trader42]

Quote from FSU:

It would be eligible to go into the COBB, whether it goes there or not is up to your broker. Each broker has different criteria for sending an order to the COBB or letting their floor broker hold the trade.

FSU, is there some way to understand if an order made it out into the "public"? Floor broker or COB?

 

[FSU]

Quote from trader42:

FSU, is there some way to understand if an order made it out into the "public"? Floor broker or COB?

The CBOE displays the COBB on its web site, http://www.cboe.com/cob/cob.aspx

If you are sending an order into one of their proprietary products (such as the SPX, OEX, VIX) it will be easy to tell if it made it to the COBB as you will actually see it. I know each broker is different on how the route these orders. For example they may send 10 lots orders or smaller to the COBB in the SPX and larger orders to their floor brokers in these pits.

For standard equity spread orders it will be harder to tell as different exchanges have their own COBB's and there generally not floor brokers in these pits (and there might not even be a pit on some exchanges). You may not know where the order was routed to or be able to see the COBB as a customer. Some brokers may even hold an order until they think it is marketable.