Futures Flies - Get Filled?

M

murphmack

Hi guys,

I usually only trade 2 leg spreads (mostly CL, little big of Ag futs) and have no troubles getting fills.

The other day I tried bidding on the Marc Jun Sept CL Fly and left my order out there for days bidding at -0.40. I never got a fill, but I saw the chart go way past me several times.

I am confused, can someone explain to me what is going on? Or how to get filled on three legged spreads like this?

I am using IB Spread Trader if it's relevant information.
 
IB's chart format uses bar/candles which show the high/low for each bar. The problem is that IB does not calculate the high/low using time-synchronized prices for all legs of the spread, so these high/low values can be inaccurate and show price levels that the actual spread never reaches. The longer the time interval, the more inaccurate the bars will be. The close value on each bar should be accurate since it looks at the price of each leg at the same point in time.

Unfortunately, I don't think you can change the IB chart to use line format which would be a series of closes and should be accurate. Other charting software (probably not broker software) is more intelligent about spreads and calculates them properly.

That might explain what you are seeing and why your order doesn't execute. Sorry if I did not explain this well, maybe someone else can chime in and provide better clarity.
 
IB shows VIX spreads in increments of .05 in the chart, even though they trade in .01. I think there are a few quirks with their spreads. Not sure why they do that when they show the true pricing of the spread elsewhere.
 
One thing you can do is add a study to the IB chart of a Moving Average with length=1. This is effectively a line chart on the Close. Then just reference this line and ignore the rest of the bar.
 
murphmack said:
I'll give it a shot tomorrow. I can't seem to get my data feed after hours. Not sure I ever tried before.
More...
Globex shuts down every afternoon (on trading days) for one hour. It will be back up shortly for the overnight session.
 
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