Confusing bid/ask in TWS

[Bob111]

my bad, missed the TWS in his post...

no problem.
-----------i just don't understand why OP is appears to be circling around same problem over and over. why not address this issue to the broker in first place? their customer support is much better than it was 15 or so years ago. you can chat, call,chat or open up the ticket. plenty of options.----------

PS-sorry,that i thought this is a same person(cause question is pretty much same.)and so the answer

https://www.elitetrader.com/et/threads/ib-does-not-put-my-order-to-nbbo-bid.304994/#post-4371258


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comagnum
Sounds like internalization, which is filling the order in house.--------

 

[tommcginnis]

1) In trading equity options, your penny-based bid/ask will only be updated on TWS when they hit nickels. I don't *know* this, but I suspect this is an exchange artifact, not TWS.

2) Your bid was hit at (b15¢/a25¢) 20¢, for any of:
a) algo triggered at bid+_x_%, as per prior response
b) "Dark" operations inside of NBBO
c) me: hanging out, watching, wondering *why* the parties on the other side were being so dang selfish.
The thing is, there are actually any number of reasons why trades get hit inside of NBBO -- pick an actively traded strike and just spend a day and watch it through the day -- you'll "see" lots of separate stories playing out.

 

[hurricane_sh]

1) In trading equity options, your penny-based bid/ask will only be updated on TWS when they hit nickels. I don't *know* this, but I suspect this is an exchange artifact, not TWS.

Thanks. I think you are right, but it seems not only an updating problem. For about 2 weeks, I''ve only seen trades at these prices. If a tick is 5 cents, that would explain it.

Another option only has bids like $1.1, $1.2, $1.3, no bid/ask or trade in between, I trade it as 10 cents per tick.

 

[tommcginnis]

... Another option only has bids like $1.1, $1.2, $1.3, no bid/ask or trade in between, I trade it as 10 cents per tick.

Definitely need more info, including underlying and exchange/config.

In many (U.S. equities, ES, SPX), when the option trades above a given price, the tick/increment increases by some x amount -- pennies to nickels, nickels to quarters, etc. (Spreads on these options have their own rules -- an offshoot of SMART routing, I bet.)
I've not seen dimes, but I've not traded broadly for a good couple of years, and the conventions change much more frequently.

(Hmmmm. I'm thinking d-ITM SPX or ES options trade on 50¢??? I'm usually there because of a fat-fingered sort of mouse mistake, and then I have this turd sitting in the middle of otherwise-clean data, maybe for *months* -- *certainly for weeks.... What a pain -- a multi-expiry finger-in-the eye, to remind you of a "D'oh!" moment. I can usually pull a couple of dollars out of it -- best by creating a spread of some sort, but if I make $500 out of it, it certainly costs me $10,000 worth of time and consternation. {I'm certain I'm alone in this, eh?})

 

[hurricane_sh]

The cheap option is SFUN Jan 20'17 3 Call. There are no bids today.

 

[Stymie]

I'm trading options in TWS, one option has the bid/ask $0.15/$0.25. If I bid/ask inside the range, the bid/ask doesn't update. Also, there are invisible offers at $0.20, all my bids at $0.2 were executed immediately. I have subscribed to all options data services.

Can anyone tell me why bid/ask doesn't update? How can I see all bids/offers? Thanks!

This is a function of how the broker routes orders to the floor and the algos who pick off trades:

1. TD collects $1.50/option contract from a high velocity trading firm to see and trade against your option orders before they hit the floor which is what happened. Thus the order never made it to the floor. TD collects commission from both sides..nice....

2. If the liquidity provider decides that you are trying to trade at a fair price, the order is allowed to continue to the floor and as it's presented, a hidden order to sell at $.20 was lifted by your order and thus the bid never changes as you effectively lifted the hidden offer.

3. If there is no hidden order to sell inside the bid/ask spread and your bid hits the exchange, an algo may within 250 ms decide to trade against your order and it's filled. TD updates their bid/ask spreads from a market data vendor TR who routes all feeds via their ST Louis datacenter for US exchanges and back out to the broker via web servers and then back to your house. The time it takes the feed to update is more than 250 ms thus the feed would not have been able to record the change quick enough for it to get back to you. This throttling is what allows you to trade from home over a normal Internet connection. So it happened but you didnt get to see it change because you use a human eye trading over a normal internet connection.

Good Luck !