IB TWS - Complex (Multi-Leg) Positions Setting Disappointment

[risknav]

hajimow,

Yes I can, however, might as well get the issue fixed since it appears I’m one of (or the) first to have found it.

ktm,

The screen posted is the “classic” TWS ticker row, I just customized it from its default, for example the number directly left of the current position is the option delta.

i960,

I’ve actually never sent a SMART order to any (spread or outright) futures market before, but for FOPs it functions in a way where you cannot go in-between the bid and offer while having the order registered in the native exchange order book.

Since all FOPs have greater than 1 tick wide bid-offer spreads, ES is the lowest at 2 ticks during prime hours and other commodities being always (sometimes much) wider, the SMART method will not allow you to attempt price improvement/discovery as it will only hit the current posted bid or offer.

In the case of native orders, it would allow for this. In reality and from my experience, in NG (natural gas) for example you can “almost always” get executed at 1 tick better than bid and offer during prime hours. Furthermore “sometimes” you can even get 2 ticks better than bid and offer. Its $10 per tick, so you can see how every tick counts in size.

If your sending SMART orders to spread and outright futures markets during prime hours, my guess is the bid-offer spread is 1 tick wide? If so, it wouldn’t make a terrible difference. However, if you are given the choice of going native vs. SMART – in my opinion, best practice is to go native.

In the world of US stock and stock options, one could argue SMART is the better route but depends completely on the trader. I know professionals go native (also known as directed) but this is off topic.

 

[i960]

I'm surprised the bid ask spread is even an issue with smart vs native. What happens if you submit a limit order at midpoint with a smart order? Does it just reject you or throw an error? I do this with outrights and futures spreads and never had an issue with smart preventing it and these are spreads with a 4-6 tick spread. That's why I wonder if this is some options specifc issue.

 

[risknav]

It won’t reject or throw an error, the order just sits on IB servers and not the exchanges. If something for example is 20 bid and 26 offer and you place an order at midpoint (23) IB will wait until either the posted bid or offer (depending on buy or sell order) shows 23 and its hit.

The native order goes right to the book, so that 23 can (if you’re lucky) get executed instantly or becomes the new posted bid or offer (again depending on buy or sell order).

When you send your SMART order, with a bid-offer spread of 4-6 ticks and its inside this does it actually show your price as the new bid or offer, or does it just get accepted and filled when the market moves to reach it?

I would be able to answer that question myself if the market wasn’t closed now – stupid market

 

[i960]

When you send your SMART order, with a bid-offer spread of 4-6 ticks and its inside this does it actually show your price as the new bid or offer, or does it just get accepted and filled when the market moves to reach it?

I can personally verify that I've seen myself become the new top of the book at that point.

 

[risknav]

I see, interesting.

It appears SMART orders are possibly treated differently for futures and FOPs, and also possibly treated differently between futures (and FOP) exchanges, for example the SGX does not have a native FOP spread order book so it’s only SMART.

If this is the case, all the more reason for IB to fix the algorithm that’s automatically grouping legs into spreads when the “Group legs into complex positions" setting is selected.

 

[ktm]

I think IB and the CME - when trading ES FOPs - works like i960 mentioned. When I do a complex spread and split the bid/ask, I can see it on the exchange as best bid/offer. My understanding is that IB is working the legs together (but separately) and monitoring the prices collectively. Are there still pits for what you're trading?

One of the rubs of the recently announced pit closings was that computers couldn't (yet) handle the complex orders that humans were trading. I don't know what they're trading down there, but I've put on some pretty bizarre looking stuff thru Option Trader over the last few years and it has taken everything. If it's 4 legs or less, it will put it together and make it happen at a far better price than you ever could individually. Some of this could be because the ES is so electronic and ags and metals less so?

 

[risknav]

Update,

I received feedback on the ticket this afternoon that my issue was fixed in the latest TWS beta build available off the website – Build 951.0u, Jul 8, 2015 3:11:31 PM.

I confirmed back that the issue was not fixed, when “Hide complex positions” is set I am unable to see my current position size and average price next to my built spreads on the ticker row like it was shown in build 949.Xx and basically every build before that during my tenure at IB.

I asked them if they could provide a link to the last publicly available 949.Xx build so I can switch, I’m done trying to get this fixed in newer software.

I once worked for a software development company, I wrote a detailed ticket with both pictures and expected/current (broken) functionality. The customer service department should be handing this over to QA (either directly or via intermediary), they verify my issue, work with engineering to schedule the fix, development provides a build with the functionality corrected, QA tests it, and if it works QA sings off on the build and it gets released – either as TWS beta or latest.

IB can hire me as a software consultant – just deposit my fees right into the brokerage account!

 

[i960]

Yeah I know how you feel as I'm also in the industry. I often wonder if they (and many others) are offloading the problems to offshore entities who fix the most glaringly obvious thing (which is strange that one even has to report it in the first place) but continually ignore the subtle details. In fact the main issue is *lack* of attention to detail or concern for different use cases. As such the end user goes back and forth and back and forth just trying to even convey the problem while the problems go unfixed. It's massively frustrating because it feels like you're doing half the job for them and putting in the time but not being met with effort.

A developer needs to have high attention to detail and ability to think outside the box. If you don't have that, you're not a developer, you're a canned code monkey.

 

[risknav]

They still haven’t fixed this, nor have they even bothered to respond back to my open ticket – last update was on July 10.

I do however have something useful and cool to share. I found a page hosted by NinjaTrader with links to all TWS versions dating back to version 851, all the way up to the most recent.

http://ninjatrader.com/ninjatrader/TWS/

I don’t use NinjaTrader, but I do applaud them for this service (intentional or not).

 

[i960]

Yeah I also have open bugs for complex position stuff (how the new TWS displays them) and one other major thing (like the fact that I cannot use a stop loss on ICE IPE inter-commodity spreads) and they just ignore it (or sometimes acknowledge it and then ignore it).

If the customer is going out of their way to present issues in a reasonable fashion, than perhaps IB should be listening to those customers because they actually give a damn.