GLOBEX option spreads with IB
- Thread starter TraDaToR
- Start date
IDS -
That's only partially true (see below) - any reason IB only selectively makes exchange traded spreads available?
For instance, you route straddles in ES (entered as directed combos) to the Globex spread order book - your order shows up in the quote and can interact with other straddle orders. 99% of futures calendars are the same, letting you trade inside the implied market.
On the other hand, ES verticals (and I assume other underlyings) never display in the quote and are only executed on an implied market.
As Tradator points out, this generates inferior fills if the implied market is outside of a better order posted in the Globex spread book.
FYI - Globex has offered user defined spread creation for over a year now. Any permutation of futures & options can be spread, and interact with other spread orders with zero leg risk.
I'm a big fan of IB - is there any plan to offer more access to *exchange traded* spreads to help your customers get better fills?
Atrocious, thanks for coming back with this.
However, I tried to place some ES straddle spread orders with Booktrader and my order still don't show up in the straddle book, with 1 lot as well as 10( IB sometimes don't show small sizes ). Are you controlling your order submission with an other broker?
Thanks.
However, I tried to place some ES straddle spread orders with Booktrader and my order still don't show up in the straddle book, with 1 lot as well as 10( IB sometimes don't show small sizes ). Are you controlling your order submission with an other broker?
Thanks.
Hi Tradator -
Yes, I'm using IB. What you're referring to is just a data limitation, IB only transmits one deep in futures spreads (one of my other brokers gives me 10 deep in calendars - IB used to a year ago). Post an ES straddle order that matches the bid/ask or betters it and you'll see it.
On the other hand do the same in a vertical spread and you won't ever see your order which is archaic, and even worse, I'm 99% certain it will only fill on the implied quote even if a better quote is available in the spread book.
Yes, I'm using IB. What you're referring to is just a data limitation, IB only transmits one deep in futures spreads (one of my other brokers gives me 10 deep in calendars - IB used to a year ago). Post an ES straddle order that matches the bid/ask or betters it and you'll see it.
On the other hand do the same in a vertical spread and you won't ever see your order which is archaic, and even worse, I'm 99% certain it will only fill on the implied quote even if a better quote is available in the spread book.
I do spreads and have to say that the ES and SPX are pains...
I think the issue has to do with the exchange and market maker. For example, on the NDX very often if I enter the market it will all of the sudden change. So if I match the bid or ask, all of the sudden the dynamics change and bids/asks appear where none were before.
On the ES and SPX if I am better than the bid or ask very often there will be a lag before it appears. I am guessing it is being held up by a middle entity for test matching. And it is here where I begin to play games. I try to find where the hidden orders are and then see how far or close I can get.
The end result is that it is a hit or miss... You just have to roll with it and hope for the best.
Christian
I think the issue has to do with the exchange and market maker. For example, on the NDX very often if I enter the market it will all of the sudden change. So if I match the bid or ask, all of the sudden the dynamics change and bids/asks appear where none were before.
On the ES and SPX if I am better than the bid or ask very often there will be a lag before it appears. I am guessing it is being held up by a middle entity for test matching. And it is here where I begin to play games. I try to find where the hidden orders are and then see how far or close I can get.
The end result is that it is a hit or miss... You just have to roll with it and hope for the best.
Christian