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

[risknav]

I just upgraded from build 949X to 9502 since it was “officially” released at some point today, I know it’s been in beta testing for a while – probably should have not come out – read below.

I used to be able to show all my option (as in FOPs) legs individually, and have the native exchange spreads listed too. I get to see each leg and its Greeks, price, and positon information, and exactly the same for the respective spread. The spread information was not displayed in the Account window, I didn’t care.

After I installed the update, things were a little off. It defaulted to having this new feature on, my individual legs do not display anything now (position as zero) and only spreads are displayed, with the ability to drill down to the legs. It also shows the spread (with drill-down) in the Account window. Okay, not bad right? Wrong.

Some spreads are not “built” correctly for the exchange. On GLOBEX you have native verticals and strangles, but they are shown as SMART (not for example as NYMEX). Some of the old “correct” spreads I had listed before the upgrade do not believe I have such a spread in my account anymore. This is a deficiency in the software to automatically detect and allocate to the proper (and most efficient) spread.

Instead of getting upset I turned the feature off thinking it would revert to how it was before – wrong again. Now I get my individual legs back, but my old (as in 949X) built spreads do not get detected and report as zero positions.

IB, what’s going on? I feel like nobody tested FOPs on GLOBEX here.

 

[i960]

Did you open a ticket with them?

 

[ktm]

Please keep us posted on the progress. I don't upgrade until they force it - for this reason among others. I use GLOBEX FOPs and Option trader daily and this functionality is critical to my trading. I'm always nervous when tinkering occurs, because these things have a lot of moving parts and the TWS in general is well evolved in dealing with them.

I like the way things work now.

Perhaps it could be slightly better, but the risk and burden of change may outweigh the benefit of improvements.

 

[risknav]

i960,

Yes, I opened one earlier today.

ktm,

I will keep you posted on how the ticket progresses.

I agree, what I also noticed, that was also unfortunate is that “TWS Previous Version” links to a batch file that specifies a directly that the installer never creates (at least on my system) during the upgrade!

If anyone still has the installer to the last 949X build if you can post it publicly (on some shared space) I would appreciate it.

 

[ktm]

risknav,

I have several machines and got a new laptop about 3-4 weeks ago. I'll check the version number that I loaded there tomorrow and send it to you if you like. I'm running 939 on my other machine.

 

[ktm]

I have 939.5C (from February 2015) on the other machine. I can send you that loader if you like. I probably opted for the oldest available build when I downloaded it.

 

[risknav]

I’ve received a response back from IB – I was rather disappointed but it’s a start and I can move forward with my reply. The response below;


The “Complex Position” display you are seeing is a new feature in theTWS Latest / Mosaic 950.2 version. You can edit the Ticker Row back to the old layout in the Global Configuration window. The choices are now to either "Group legs into complex positions" or "Hide complex positions" . In Classic TWS in the menu line click on Edit or in Mosaic click on File --> Global Configuration --> Display --> Ticker Row --> scroll to the Complex (Multi-Leg) Positions section --> Select either "Group legs into complex positions" or "Hide complex positions" --> Go to the Bottom then click Apply the OK. Choosing "Hide complex positions" will change the display back to the pervious TWS version layout.


This was my response back, sent just moments ago;


The expected functionality when set to "Hide complex positions" does not revert the layout back to how the previous version handled it. The current version (950.2g) handles it like in the attached picture – 9502g-off.jpg.


However, it should be handling it like it does in the attached picture – 949X-default.jpg. Please notice the red (short) positions next to the spreads at the bottom. The above (grouping of) positions are the legs of the spread, they are displayed correctly in both versions (950.2g when off and 949X).


I also have to point out another related bug with regards to version 950.2g in terms of how the “automatic treatment” of spreads are done in the system when "Group legs into complex positions" is set, this directly affects execution.


Please refer to the attached picture – 9502g-on.jpg.


The “NG Put Vertical” position is being classified as an “NG Bull Put” and the layout is reflecting this. Though one could argue this is correct (terminology yes) in terms of execution is it very wrong. Being a FOP (commodity option) on NYMEX in the way the new version is handling it would directed as SMART (so simulated order) and not as NYMEX (native order).


NYMEX (and most (all?) CME Group FOPs) require native orders to be either butterfly, calendar spread, straddle, strangle, or vertical spread.


If this can be reviewed by someone familiar with FOPs and the latest TWS builds it would be greatly appreciated.


This is how my system worked in both the past and present build. I’m not the only one seeing this, right?

 

[hajimow]

You can always downgrade it to the older version I believe.

 

[ktm]

I think I use OptionTrader a bit differently. I don't know where that screen is that you posted from 949. Sorry I can't be of more help on this.

I've found that there really aren't many people that deal in (and understand) FOPs in the way we do. It's a small world.

 

[i960]

Being a FOP (commodity option) on NYMEX in the way the new version is handling it would directed as SMART (so simulated order) and not as NYMEX (native order).

I don't think this is the case. Atleast from the perspective of calendar and inter-commodity spreads (non-options), a SMART order doesn't necessarily mean it's a simulated order or simulated spread. It just means the execution path is "SMART". Maybe this is different for FOPs, but everything I've seen so far is that SMART doesn't mean anything when dealing with futures exchanges.