Do Autospreaders allow you to roll spreads faster?
- Thread starter xandman
- Start date
No.
Do you mind elaborating? I'd like to help out of I can but dont understand your question.
I guess I did not frame it properly.
Let's use GC Feb-Dec spread. Before Feb expires, we want to make it into a GC Mar-Dec spread.
To do this, we sell GC Feb and buy GC Mar (sell GC Feb-Mar spread). Now, a lot of people also have the same idea and the bid/ask 1 tick and about 10,000 lots. Can you try to sell for ask with 10k lots ahead of you? Hit the bid and pay the spread?
Seems a simple enough thing to pay up the spread. But, I wanted to be sure that AS can't bypass the queue by getting filled via individual legs. ie. the exchange prioritizes a bid/offer the same regardless if it is tied to a spread or not.
But let me run this by you: In a spread with both equally wide markets for both legs, there won't be any miracles. One leg goes for limit and the other one will be a market order when the limit order is filled. That is the only way these things work. Is that correct?
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That's correct in that it quotes and requotes a limit order first and then pays up with a market order ( however its adjustable in that you can pay up with a limit order that does not take market). thats generally how autospreaders work.
As for your bypass... yes you can quotes both legs individually but you risk being hung on one of the legs if your payup leg misses the desired price. Doing it that way is a decent way to try to get ahead of the exchange traded spread because as you mentioned you will have to wait for those 10k lots to be filled before you. However its not risk free and thus a lot of people prefer to wait patiently in the queue rather than risk getting hung and potentially paying way more for the spread than if you had just taken market on the exchange traded spread.
Also autospreaders are somewhat expensive ranging from 400 to 1600 a month. TTs 420 a month is the cheapest option.
