Does anyone know how IB calculates the beta that's part of their Attach ==> Beta Hedge functionality in the advanced order window (here's an example of the same function in the classic interface: https://www.interactivebrokers.com/...ok/ordertypes/attach_a_beta_hedge_order.htm)? I'm getting really wonky readings ... most stocks, even rather volatile ones, are well below 1 against SPY. In other places in TWS (Advanced Quote Detail; Risk Navigator) beta calculations are closer to what I'd expect.
Interactive Brokers: wonky (?) beta calculation
- Thread starter zoned_post_meridiem
- Start date
It's always been like this. I have no idea how they calc. beta for the hedge orders, but it makes little sense.
Thanks. That's too bad. I'd written my own beta hedge function for Multicharts, but it's cumbersome to use, and I was excited to find the much more elegant TWS option. But if it hedges a round lot of CLDR with 1 share of SPY ... 
If you want to know how they’re calculating beta for the hedge orders, you can simply contact them and ask. I’m sure they have customer service that will get back to you soon enough. That’s one way to find out. I generally do this with my brokers too, IG, Fxview and I get a quicker response to my queries.