IB algo for option combos ?
- Thread starter zdave83
- Start date
I have a hard enough time getting normal fills on option combos tbh.
Algos to accumulate large order size/qty? Do you trade that many option combos?
I trade a basket of options, mostly spreads, 8-12 separate orders at a time, around 60/40 split of calls & puts, same split under/over the underlying price. Liquidity is good for 80-90% of orders. With that profile ... I've found total entry is very close to aggregate midpoint pricing at the start ... sometimes better, correlated with Delta
I submit the orders via API, but manage entry/pricing manually ... where's an adaptive algo when you need it. Getting the positions filled takes 1-2 min, but way too many keystrokes/clicks, which means way too much risk of stupid mistakes.What kind of trades are you placing and what do you think causes the issue with fills ?
See previous post ... plus it's not so much the quantity as it is the need to get them all filled at the same time with as little Delta change as possible.
OK, I asked because there could be all kinds of algos and simply asking for "algos" doesn't do any good.
I sometimes have combo orders for 100+ qty at the price I want and I just wait for fills, sometimes they go through at once, other times through partial fills.
I'd like something that would keep adjusting the options order price, but the one I've seen was patented by OptionsXpress and later acquired by Schwab, called "Walk Limit" order type.
I trade a basket of options, mostly spreads, 8-12 separate orders at a time, around 60/40 split of calls & puts, same split under/over the underlying price. Liquidity is good for 80-90% of orders. With that profile ... I've found total entry is very close to aggregate midpoint pricing at the start ... sometimes better, correlated with Delta
What kind of trades are you placing and what do you think causes the issue with fills ?
You're right, it takes about 1-2 minutes which to me seems wrong.
Thanks ... I'll check it out.