Getting orders filled on spreads

M

mportnoy

Hello everyone. I'm new to the forum.

I trade options, mostly credit spreads. I've been trading since 2014.

I like options because I enjoy the math, the statistical analysis, and the data analysis involved in building a good strategy.

Over the last year, I've built two strategies that perform very well when looking at backtested price data and when forward testing in both demo and TOS OnDemand.

I consider them to be 'synthetic credit spreads' because they don't fit into traditional spread categories, and they limit risk to 75% of reward.

However, as you're probably going to guess...my strategies don't seem to work in the live world. I have a difficult time getting my positions filled, even if it's just 1 contract. My orders just sit, even when the spread price is below my limit. I suspect that my strategies aren't adequately suited for retail trading, but who knows?

Maybe this isn't the place to ask this question, but how do you guys deal with getting your orders filled?
 
I think the "fills" using OnDemand in TOS are similar to the "fills" using PaperMoney/Simulated Trading in TOS, which both ASS-U-ME fills at the MID. While assuming fills may be possible at the MID is viable, assuming fills are probable at the MID is not. Robert & OptionsOptionsOptions responses should be considered.
 
Robert Morse said:
How about a real example from last week?
Stock symbol?
Where was it trading?
What was the option spread?
What was the NBBO and midpoint at the time?
What limit did you enter and at what time of day?
More...

Thanks for the replies, I apologize for the lack of info in my first post.

I only trade SPX credit spreads.

Without getting too deep into the weeds and how this spread is designed, it relies heavily on fluctuations created by delta/theta relationship but the structure limits the downside risk to 75% of the profit.

Some of the spread legs are ATM and some are near the money.

Assuming that by NBBO you're referring to the 'national best bid and offer,' the displayed spread prices over the duration of the morning reflect the limit orders I enter (sell to open at one price, buy to close at a lower price). The thing is, I watch pricing move well beyond my limit orders, yet I don't get a fill. It's especially true on the buy to close side of the order.

I think if this were constructed as individual legs it might be much easier to enter or exit, but then I'm deprived of the inherent 'spread' protection during execution. I wonder if I can build a script to help with order execution? Something that maintains the spread pricing and manages the position externally while making it look like separate orders to the MM...

Guys, I'm aware that Paper and OnDemand fall short when replicating market behavior.
 
qwertyjjj said:
I usually get filled at the mid
More...


There is a good chance that most of those orders got filled due to the stock moving against you - so they were not filled at the "mid".

How many orders didn't get filled at the mid and got away from you? Did you chase the quotes up or just let the trade go?
 
Last edited:
OptionsOptionsOptions said:
There is a good chance that most of those orders got filled due to the stock moving against you - so they were not filled at the "mid".

How many orders didn't get filled at the mid and got away from you? Did you chase the quotes up or just let the trade go?
More...

Thanks for the reply, but I think we're talking about two different things.

The more I research this, the more I think we're attempting an advanced strategy that simply isn't going to work on TOS, at least not unless I can code some kind of external management system to float on top of TOS. While the volume of the individual legs is extremely high, the volume of contracts using my synthetic spread is, well, just me.

I'm reaching out to some of the local CBOE guys here in Chicago to ask questions. I appreciate everyone's time and contribution to my question.
 
mportnoy-I'm happy to jump on a call one day and better understand the issues you are having. I was an AMEX MM for 25 years. I'm not getting any complaints from my active traders getting fills in SPX or any other active symbol. The detail I would need to figure out why you are, would be too hard to figure out this way. In fact, a live example would be best, which is hard here.

mportnoy said:
I'm reaching out to some of the local CBOE guys here in Chicago to ask questions. I appreciate everyone's time and contribution to my question.
More...
 
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