combo order matching directly on options exchanges?

[trader42]

As per this

http://www.ise.com/WebForm/viewPage.aspx?categoryId=385

ISE does offer up to 4 (?) combo legs for matching in their execution engine.

Would CBOE also have similar options combo order matching?

Thanks

 

[1245]

Quote from trader42:

As per this

http://www.ise.com/WebForm/viewPage.aspx?categoryId=385

ISE does offer up to 4 (?) combo legs for matching in their execution engine.

Would CBOE also have similar options combo order matching?

Thanks

Yes. CBOE, ISE, PHLX and AMEX all have complex order books that can handle up to 4 legs plus stock as a hedge. The CBOE and ISE get the most volume of live orders. I'm excluding straight crosses which the Phlx and AMEX get a lot.

1245

 

[trader42]

Quote from 1245:

Yes. CBOE, ISE, PHLX and AMEX all have complex order books that can handle up to 4 legs plus stock as a hedge. The CBOE and ISE get the most volume of live orders. I'm excluding straight crosses which the Phlx and AMEX get a lot.

1245

OK, this being the case, I'm wondering why would IB TWS display "pink" quotes (non executable) for near money, near month (straddle/strangle) combos? Would prices for those be available from the complex order book engines? Thanks

 

[1245]

Quote from trader42:

OK, this being the case, I'm wondering why would IB TWS display "pink" quotes (non executable) for near money, near month (straddle/strangle) combos? Would prices for those be available from the complex order book engines? Thanks

I don't know what pink quotes are and I just closed my IB account because of the way COB orders are handled. They do not route smart complex orders to the exchange books until they feel it is executable, which means the only way to buy on the bid and sell on the offer with them is through another order from another IB customer.

If you want true Direct routing to the ISE or cboe book to add liquidity, you must choose that in the order ticket which with each leg tries to get you to switch back to smart route, and the charge goes up to $1.00 per contract.

There is a website for the cboe where you can view the COB, but it might have a time delay and is difficult to use and trade from. There are very few platforms that allow you to view and trade directly with all the complex or books, and IB does not do that. WEX is one, but you'll need an introducing broker willing to allow you to use it. WEX is a professional institutional, broker neutral platform for equities and options.

1245

 

[trader42]

Sorry make that purple color "non executing price" quotes. Even when making these quotes direct CBOE, the color still stays purple ...

You just answered my next question, I was wondering if the orders on these combos are making it to exchange matching engines.

Are there some "mainstream" brokerages which do send option combo orders into CBOE/ISE order book?

I found the CBOE COB at http://www.cboe.com/cob/cob.aspx

Quote from 1245:

I don't know what pink quotes are and I just closed my IB account because of the way COB orders are handled. They do not route smart complex orders to the exchange books until they feel it is executable, which means the only way to buy on the bid and sell on the offer with them is through another order from another IB customer.

If you want true Direct routing to the ISE or cboe book to add liquidity, you must choose that in the order ticket which with each leg tries to get you to switch back to smart route, and the charge goes up to $1.00 per contract.

There is a website for the cboe where you can view the COB, but it might have a time delay and is difficult to use and trade from. There are very few platforms that allow you to view and trade directly with all the complex or books, and IB does not do that. WEX is one, but you'll need an introducing broker willing to allow you to use it. WEX is a professional institutional, broker neutral platform for equities and options.

1245

 

[1245]

Quote from trader42:

Sorry make that purple color "non executing price" quotes. Even when making these quotes direct CBOE, the color still stays purple ...

You just answered my next question, I was wondering if the orders on these combos are making it to exchange matching engines.

Are there some "mainstream" brokerages which do send option combo orders into CBOE/ISE order book?

I found the CBOE COB at http://www.cboe.com/cob/cob.aspx

It is very hard to tell where an order sent through a smart route is going. To be sure , you need DMA,direct market access, which very few retail brokers offer because they make extra monies from payment for order flow, so they benefit from orders directed to another broker or exchange. If you need to have a retail broker, I believe TD orders go first to a options dark pool then to an exchange COB. The delay in likely less than a second.

 

[trader42]

I'm less interested in knowing where it went, and also would be fine that it was delayed a bit (talking of options combos here ...). But not being available to other market participants to see and trade on until somebody decides that it is of "executing price", is not a good proposition.

To your point, maybe it is time to look around for non-retail avenues.

Thank you for the pointers 1245

Quote from 1245:

It is very hard to tell where an order sent through a smart route is going. To be sure , you need DMA,direct market access, which very few retail brokers offer because they make extra monies from payment for order flow, so they benefit from orders directed to another broker or exchange. If you need to have a retail broker, I believe TD orders go first to a options dark pool then to an exchange COB. The delay in likely less than a second.

 

[489]

Quote from 1245:

orders go first to a options dark pool then to an exchange COB. The delay in likely less than a second.

The is no such thing as a dark pool for options. All electronic option orders, whether spreads or single leg, MUST be publicly exposed for a short time and are eligible for price improvement. All option orders are also subject to resting public interest on the book and cannot just be printed at the NBBO like stock trades.

 

[1245]

Quote from 489:

The is no such thing as a dark pool for options. All electronic option orders, whether spreads or single leg, MUST be publicly exposed for a short time and are eligible for price improvement. All option orders are also subject to resting public interest on the book and cannot just be printed at the NBBO like stock trades.

Knight has an option dark pool called RFQ, request for quote. Participates in the system receive a faction of a second to make a market, if they don't the orders are routed to an exchange. All orders in the RFQ are pending printing on an exchange. Knight has deals with exchanges that allow them to print these trades within the NBBO. This is NOT the only option dark pool. I know of at least one other. Option order no longer must be exposed to the public or other market makers for price discover. It just must be with in the markets and they get around that too by pricing options vs stock. That's why you will often see stock trades outside the market claiming it was a late trade.

 

[489]

Nope. Wrong.