Did I just break CBOE system, or some broker's?

G

guru

I thought this was funny, or at least a bit strange, CBOE called my broker (IB) asking me to cancel an order that is "bogging one of their systems down". Though he also mentioned clogging one of "broker's machines", so it wasn't clear whether he misspoke or it's another broker or market maker that called CBOE.

Voice mail: [link] https://vocaroo.com/i/s0RmSE6AsBwG [/link]

(this was for some SPX ratio spreads, I usually have orders for 100s of them at $0.05 to $0.10 credit, and I cancelled most of those orders after the call)
 
Last edited:
Overnight said:
I like it. Stick it to the man!
More...
Well if he told them to F*k off, he would be my hero :) CBOE can cancel orders themselves (no questions asked), so I'm pretty sure it's between IB and some other firm. Did they tell you when you can re-submit them? These are GTC?
 
qlai said:
Well if he told them to F*k off, he would be my hero :) CBOE can cancel orders themselves (no questions asked), so I'm pretty sure it's between IB and some other firm. Did they tell you when you can re-submit them? These are GTC?
More...

They were actually stale orders that I had sitting for a month and they no longer have a chance of going through. I usually don't spend time cleaning up because any time these orders go through I don't have to worry about them anyway. They have minimal risk and I place them just in case the prices get out of whack. Some of these orders offset other/opposite orders elsewhere on the calendar so it's a bit of market making (not risk-free but very minimal risk).
Here are couple I just cancelled:

upload_2019-10-8_13-45-53.png


(IB voicemail was specific that CBOE contacted them)
 

Attachments

  • upload_2019-10-8_13-44-31.png
    upload_2019-10-8_13-44-31.png
    2.4 KB · Views: 25
Last edited:
Interesting the recording said it was locking the brokers par station.

Brokers have an option in the SPX to route your spread directly to the exchanges electronic book (COB) or to a brokers workstation (PAR). Each broker is different, but orders above a certain size will go to PAR, and below will go directly into the COB.

You are almost always better off having your order go into the COB. This way MM's are looking at your order continuously, electronically. A little blip can get you filled. With a broker, he will read your order off to the crowd when it comes in, then it just goes into the mush of all his other orders if its not filled. He will have the option of sending it to the COB himself, but if he doesn't, he may not look at it again until the Par deems it marketable.

I would suggest you also put spread orders in smaller amounts (9 lots) and compare your fills with the larger size orders.
 
I believe you answered your own query. They were just cleaning out resting orders over 30 days old. That is why they requested a cancel and replace. More for your own protection than anything.
 
FSU said:
Interesting the recording said it was locking the brokers par station.

Brokers have an option in the SPX to route your spread directly to the exchanges electronic book (COB) or to a brokers workstation (PAR). Each broker is different, but orders above a certain size will go to PAR, and below will go directly into the COB.

You are almost always better off having your order go into the COB. This way MM's are looking at your order continuously, electronically. A little blip can get you filled. With a broker, he will read your order off to the crowd when it comes in, then it just goes into the mush of all his other orders if its not filled. He will have the option of sending it to the COB himself, but if he doesn't, he may not look at it again until the Par deems it marketable.

I would suggest you also put spread orders in smaller amounts (9 lots) and compare your fills with the larger size orders.
More...

Thanks, great info. I usually just looked at the green color next to the order in IB system, which supposedly indicates that the order was sent to exchange, vs blue color that indicates the order being held at IB for becoming marketable (this especially applies to hidden orders that are hidden on IB side, not very useful). I get quite a few 100-qty option-combo orders filled, but usually in pieces, like 10-30 at a time, sometimes the rest remains unfilled.
I'll play with different quantities in the future.
 
Last edited:
FSU said:
Interesting the recording said it was locking the brokers par station.

Brokers have an option in the SPX to route your spread directly to the exchanges electronic book (COB) or to a brokers workstation (PAR). Each broker is different, but orders above a certain size will go to PAR, and below will go directly into the COB.

You are almost always better off having your order go into the COB. This way MM's are looking at your order continuously, electronically. A little blip can get you filled. With a broker, he will read your order off to the crowd when it comes in, then it just goes into the mush of all his other orders if its not filled. He will have the option of sending it to the COB himself, but if he doesn't, he may not look at it again until the Par deems it marketable.

I would suggest you also put spread orders in smaller amounts (9 lots) and compare your fills with the larger size orders.
More...

Oh, and looks like this may be related to CBOE's migration to a new system that happened just last night and older orders might've not convert properly, while new (or replaced) orders would be processed using their new system:
https://markets.cboe.com/resources/release_notes/2019/Direct-Route-to-PAR-Exchange-Notice.pdf
 
FSU said:
Interesting the recording said it was locking the brokers par station.

Brokers have an option in the SPX to route your spread directly to the exchanges electronic book (COB) or to a brokers workstation (PAR). Each broker is different, but orders above a certain size will go to PAR, and below will go directly into the COB.

You are almost always better off having your order go into the COB. This way MM's are looking at your order continuously, electronically. A little blip can get you filled. With a broker, he will read your order off to the crowd when it comes in, then it just goes into the mush of all his other orders if its not filled. He will have the option of sending it to the COB himself, but if he doesn't, he may not look at it again until the Par deems it marketable.

I would suggest you also put spread orders in smaller amounts (9 lots) and compare your fills with the larger size orders.
More...
I experienced this all the time with IB, although the size seemed to change day by day or even intraday, probably depending how busy their brokers were. Sometimes as low as a 5 contract spread and sometimes as high as 20.
 
  • Like
Reactions: FSU
You must log in or register to reply here.
Back
Top