IB exchange traded spreads

T

traderjo

As an example when I trade a EXCHANGE traded spread like say ES JUne/SEP the order goes to the Exchange based book and there is no legging risk great..thanks IB
But when I asked the support so why is my order not triggered when I see on the graph that price has threaded through it .
The answer I got is although you are trading a guaranteed Exchange book spread Ibs chart and visible price is based on two legs price!
WTF? meaning although i don't have legging risk the true Depth of Market from the true Spread book is not visible? on top of that the support person said IF he had a bloomberg terminal he could see it!
SO in the attached screen shot is the BID ask Ia m seeing a true from exchange book or not?
 

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spread book depth is visible. Not sure what you chart is charting (bids, offers, mids, worst case best case, lasts)? You can look on cme how implied IN/OUT prices are created. essentially, connecting nodes
 
2rosy said:
spread book depth is visible. Not sure what you chart is charting (bids, offers, mids, worst case best case, lasts)? You can look on cme how implied IN/OUT prices are created. essentially, connecting nodes
More...
But support said spread bid ask you see on TWS is not direct bid ask from the EXCHANGE BOOK of that spread but execution is! that si what worries me
 
traderjo said:
As an example when I trade a EXCHANGE traded spread like say ES JUne/SEP the order goes to the Exchange based book and there is no legging risk great..thanks IB
But when I asked the support so why is my order not triggered when I see on the graph that price has threaded through it .
The answer I got is although you are trading a guaranteed Exchange book spread Ibs chart and visible price is based on two legs price!
WTF? meaning although i don't have legging risk the true Depth of Market from the true Spread book is not visible? on top of that the support person said IF he had a bloomberg terminal he could see it!
SO in the attached screen shot is the BID ask Ia m seeing a true from exchange book or not?
More...

Maybe I'm not understanding this but for me if both legs aren't liquid it can be hard to get into a spread at the price quoted. Could it be that because of SPAN they are trying to fill each leg "together" and if both don't get a hit on the book it won't go through? Just a guess.
 
no there is a EXCHANGE listed spread with it's own book / depth of market and the order goes to that book and not as each leg
but what they are saying is the depth of market and chart is not that book but a implied spread made of two legs
so asked why dont you show the exchange book directly? there was no explanation may be IB rep here can explain
 
the exchange book consists of implieds and actual spread orders.
ie.
M bid 30
U ask 20

spread book...
M/U bid @10

My guess on the chart is that they are just diffing the outrights
 
IB is horrible for spreaads. it is an outright trading platform with bolt-on functionality for native spreads. even with the execution, I have been recently testing with live orders. i sent outright and native spreads at the same time. the spreads always take 1-3 seconds longer

i am just going to keep it for stocks and futures options

but i will be moving my synthetic spread strategies to another broker
 
'...outright trading platform with bolt-on functionality for native spreads"
yes that is confusing
Execution wise they say it is direct exchange book so no legging risk
but representing the spread is done via individual leg
So in other words the SPRED bid ask is not real native book bid ask
and this is ridiculous
and then what happens to other Native spreads like FYT etc
 
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