as objective as they come really.
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IB's chat service is useless: question about algos
- Thread starter tonyf
- Start date
And I don't think there is an algo that sends a 16 lot customer order (one contract to each exchange). Doing this yourself can be very costly with respect to your order count and leave the possibility of getting over filled. Sending many orders like this on your own will increase your chances of becoming a designated Professional Customer.
fyi: IB does split up orders in the Complex Order Market
Just to be clear, will you be classified as a pro if you send out 16 orders to 16 exchanges?
I am guess that not all 16 exchanges are on par. How can one filter out trading volumes for a specific option by exchange to see which exchanges are the most active and target them exclusively?
if you send 390 orders per day over the course of one month - then you will be designated as a PRO. Sending 16 x the amount of orders will get you to that designation pretty quickly. And if you want to see "bad fills" - become a Professional
You could filter the Exchanges but you have to understand that 80% + of all marketable orders (orders that might trade against your limit order) are bought by HFT's (wholesalers). They will trade against the order themselves on an Exchange where you are not bidding. And even if you are bidding on all 16 Exchanges - there is about a 70% chance that you still won't get a fill when an opposite marketable order hits the market. This is the result of price improvement rules. The HFT's have the technology to penny your bid. So say, you are $8.10 bid on 16 Exchanges and another customer enters an order to sell at $8.10. When this happens, there is a small halt (for about 50 ms: one that you possibly can't recognize) and the HFT's/market makers have the ability to step in front of your order during this halt and bid $8.11.
Bottom line is that there is virtually zero customer to customer trading that takes place in the option markets. At least not at prices that benefit one of those customers.
But honestly, you shouldn't just take my word on this. I would suggest you experiment and try different things. You will learn a great deal which will help you determine the correct path in this marketplace. If you understand the market structure today - then you will find trading is much easier in this marketplace.
Personally I use to get quite angry at some of these anti-competitive rules. About 10 years ago I decided to stop fighting for what is fair and simply take what they give you....
You could filter the Exchanges but you have to understand that 80% + of all marketable orders (orders that might trade against your limit order) are bought by HFT's (wholesalers). They will trade against the order themselves on an Exchange where you are not bidding. And even if you are bidding on all 16 Exchanges - there is about a 70% chance that you still won't get a fill when an opposite marketable order hits the market. This is the result of price improvement rules. The HFT's have the technology to penny your bid. So say, you are $8.10 bid on 16 Exchanges and another customer enters an order to sell at $8.10. When this happens, there is a small halt (for about 50 ms: one that you possibly can't recognize) and the HFT's/market makers have the ability to step in front of your order during this halt and bid $8.11.
Bottom line is that there is virtually zero customer to customer trading that takes place in the option markets. At least not at prices that benefit one of those customers.
But honestly, you shouldn't just take my word on this. I would suggest you experiment and try different things. You will learn a great deal which will help you determine the correct path in this marketplace. If you understand the market structure today - then you will find trading is much easier in this marketplace.
Personally I use to get quite angry at some of these anti-competitive rules. About 10 years ago I decided to stop fighting for what is fair and simply take what they give you....
if you send 390 orders per day over the course of one month - then you will be designated as a PRO. Sending 16 x the amount of orders will get you to that designation pretty quickly. And if you want to see "bad fills" - become a Professional
You could filter the Exchanges but you have to understand that 80% + of all marketable orders (orders that might trade against your limit order) are bought by HFT's (wholesalers). They will trade against the order themselves on an Exchange where you are not bidding. And even if you are bidding on all 16 Exchanges - there is about a 70% chance that you still won't get a fill when an opposite marketable order hits the market. This is the result of price improvement rules. The HFT's have the technology to penny your bid. So say, you are $8.10 bid on 16 Exchanges and another customer enters an order to sell at $8.10. When this happens, there is a small halt (for about 50 ms: one that you possibly can't recognize) and the HFT's/market makers have the ability to step in front of your order during this halt and bid $8.11.
Bottom line is that there is virtually zero customer to customer trading that takes place in the option markets. At least not at prices that benefit one of those customers.
But honestly, you shouldn't just take my word on this. I would suggest you experiment and try different things. You will learn a great deal which will help you determine the correct path in this marketplace. If you understand the market structure today - then you will find trading is much easier in this marketplace.
Personally I use to get quite angry at some of these anti-competitive rules. About 10 years ago I decided to stop fighting for what is fair and simply take what they give you....
Thank you very much for your thoughts.
I hear from some that splitting orders might not help unless some of said orders hit Philly where we get no rebate, but they get a lot of customer flow. C2 and the others with higher rebates, get very little flow I am told.
Have you noticed any ot this?
It depends on the security but as you can see from the data below - the volume is distributed relatively evenly overall. Keep in mind that some volumes can be overstated for a variety of reasons. for example the PHLX volume is overstated because a large portion (maybe as much as 30%) is BS dividend volume. This volume (large blocks) is crossed from one PHLX member to another the day prior to x-dividend. Take note of all the deep call spreads that trade at parity on the PHLX floor on these days. This is reflected in the lower amount of trades relative to their volume. Also note that not every security has 16 Exchanges.
Aug 2021 Volume
Total volume approximately 388 million
Data (Volume: # of trades)
PHLX: 52.3 million : 7 million trades
ARCA: 52.1 million: 10.8 million trades
CBOE: 38.8 million: 7 million trades
NSDQ: 33.7 million: 6.4 million trades
BATS: 31.8 million: 5.3 million trades
AMEX: 25.9 million: 4 million trades
BOX: 24.2 million: 4.1 million trades
MIAX: 24.1 million: 5.1 million trades
EMLD: 23.8 million: 5.2 million trades
ISE: 16.8 million: 2.9 million trades
C2: 15.1 million: 3 million trades
EDGX: 14.4 million: 3 million trades
MPRL: 12.1 million: 2.3 million trades
GEM: 11.5 million: 2.2 million trades
MCRY: 7.1 million: 1.8 million trades
NOBO: 4.3 million: 1 million trades
Aug 2021 Volume
Total volume approximately 388 million
Data (Volume: # of trades)
PHLX: 52.3 million : 7 million trades
ARCA: 52.1 million: 10.8 million trades
CBOE: 38.8 million: 7 million trades
NSDQ: 33.7 million: 6.4 million trades
BATS: 31.8 million: 5.3 million trades
AMEX: 25.9 million: 4 million trades
BOX: 24.2 million: 4.1 million trades
MIAX: 24.1 million: 5.1 million trades
EMLD: 23.8 million: 5.2 million trades
ISE: 16.8 million: 2.9 million trades
C2: 15.1 million: 3 million trades
EDGX: 14.4 million: 3 million trades
MPRL: 12.1 million: 2.3 million trades
GEM: 11.5 million: 2.2 million trades
MCRY: 7.1 million: 1.8 million trades
NOBO: 4.3 million: 1 million trades
as objective as they come really.
LOL. About as objective as the "best way to solve conflict in Palestine/Israel and what flavour of icecream is superior in Taste".
Customer service isn't there to help with your own research. You are self-directed. For those you will either need full service or someone to mentor you, OR measure the results testing different algos.
Alright dude. None of what you said makes sense but thanks for sharing.LOL. About as objective as the "best way to solve conflict in Palestine/Israel and what flavour of icecream is superior in Taste".
Customer service isn't there to help with your own research. You are self-directed. For those you will either need full service or someone to mentor you, OR measure the results testing different algos.
P.s. the Israel conflict is already solved.
Best selling ice-cream is vanilla. Superior taste is reflected in the price of Madagascar beans.
It depends on the security but as you can see from the data below - the volume is distributed relatively evenly overall. Keep in mind that some volumes can be overstated for a variety of reasons. for example the PHLX volume is overstated because a large portion (maybe as much as 30%) is BS dividend volume. This volume (large blocks) is crossed from one PHLX member to another the day prior to x-dividend. Take note of all the deep call spreads that trade at parity on the PHLX floor on these days. This is reflected in the lower amount of trades relative to their volume. Also note that not every security has 16 Exchanges.
Aug 2021 Volume
Total volume approximately 388 million
Data (Volume: # of trades)
PHLX: 52.3 million : 7 million trades
ARCA: 52.1 million: 10.8 million trades
CBOE: 38.8 million: 7 million trades
NSDQ: 33.7 million: 6.4 million trades
BATS: 31.8 million: 5.3 million trades
AMEX: 25.9 million: 4 million trades
BOX: 24.2 million: 4.1 million trades
MIAX: 24.1 million: 5.1 million trades
EMLD: 23.8 million: 5.2 million trades
ISE: 16.8 million: 2.9 million trades
C2: 15.1 million: 3 million trades
EDGX: 14.4 million: 3 million trades
MPRL: 12.1 million: 2.3 million trades
GEM: 11.5 million: 2.2 million trades
MCRY: 7.1 million: 1.8 million trades
NOBO: 4.3 million: 1 million trades
Source is OCC I am guessing? Can one breakdown those stats at the security/option level?
None of what you said makes sense but thanks for sharing.
likewise
Source is OCC I am guessing? Can one breakdown those stats at the security/option level?
yes - OCC
One could breakdown the stats per security with the right data vendor.