Interesting order fill behavior

[cttfs]

I noticed some interesting behavior with my limit orders placed on various options. Very often I place an order which is a new best bid or offer. And my order is the only order at that price. Of course I can sit for a while (minutes) without getting filled.

But often if I cancel the order, and then immediately resubmit the order, I will get filled instantaneously. This is with no movement of the underlying in the mean time.

Can anyone explain this? If my order was sitting there for minutes with no takers, why would someone all of a sudden take it after I yank it and reissue it?

Of course with a couple orders there could be happenstance at play. But this has happened too many times.

 

[stepandfetchit]

can you identify the underlying and the options (opra). Also, did you notice the bids/asks and Bid size and ask size movement? -- I have observed some automatic tracking of my orders that may be related to your observances. -- This was some time back for products I no longer trade, such as slightly ITM Calls on ETFs. Seemed like one person, could effectively reduce the Bid/Ask spread without a Fill! (Note: the reduction persists after removal of my order)

 

[oversea]

Are the immediate resubmissions going to the same venue?

If not...that would certainly be the easiest place to start.

 

[cttfs]

can you identify the underlying and the options (opra). Also, did you notice the bids/asks and Bid size and ask size movement? -- I have observed some automatic tracking of my orders that may be related to your observances. -- This was some time back for products I no longer trade, such as slightly ITM Calls on ETFs. Seemed like one person, could effectively reduce the Bid/Ask spread without a Fill! (Note: the reduction persists after removal of my order)

In these situations, I am the only one at the best bid or offer.

Are the immediate resubmissions going to the same venue?

If not...that would certainly be the easiest place to start.

Yes, going to same exchange.

 

[stepandfetchit]

Apparently you failed to comprehend my post.
Look at what happens prior to your order, then look what happens after placing/modifying your order. For example, if you at trying to trade the 76 PUT strike for the 15 SEP 17 IWM, you should be able to observe something like the following, which discloses known existing orders:

Then observe, after you enter your order!-- Your order will be the "best bid or ask", but look at what happens with the nearby orders and the size.

 

[cttfs]

I'm not sure what you're describing. My order makes a new best bid/offer and remains the only order at that price. So using the existing market in your screenshot, say I then enter an order to sell 10 contracts at .34 and my order sits there as the best offer (with no additional size added by anyone else) for some time. Then often I find that if I cancel the order and immediately re-submit, it gets filled immediately.

So please try again - what were you suggesting in your post?

 

[stepandfetchit]

I am presenting observations I have made regarding option limit orders on "not so liquid" options. I have no idea what you may be observing, as you are not providing specific examples. It is also unclear if you understand Level II quotes or use them to better understand what is happening. What Broker/tool you use "may" provide some hints. -- The symptom of "cancel/replace" with immediate fill, seems more like a brokerage issue, but I'm just guessing.

 

[cttfs]

Oh, I misunderstood, I thought you were suggesting something specific.
It's not a brokerage issue. These are directed orders (no smart routes) and the behavior is confirmed by multiple Level II displays (yes, I use them).

So can anyone speculate what would cause a sitting order to be ignored, yet if I cancel then re-submit, it gets filled? These orders are obviously getting hit/lifted by computers (fills in the same second that the order is placed). Is there a logical reason algorithms would prefer to trade a newly arrived best bid/offer but not a sitting one?

 

[JSOP]

I noticed some interesting behavior with my limit orders placed on various options. Very often I place an order which is a new best bid or offer. And my order is the only order at that price. Of course I can sit for a while (minutes) without getting filled.

But often if I cancel the order, and then immediately resubmit the order, I will get filled instantaneously. This is with no movement of the underlying in the mean time.

Can anyone explain this? If my order was sitting there for minutes with no takers, why would someone all of a sudden take it after I yank it and reissue it?

Of course with a couple orders there could be happenstance at play. But this has happened too many times.

Happens to me ALL the time. I could be the best bid/offer for hours and the order would be outstanding and yet if I cancel the order and reissue it with nothing changed it gets immediately filled. I always dismiss it as some MM's just not wanting to pay the "Remove Liquidity" exchange fee especially if they see you are the only order at best bid/ask so they deliberately not hit you hoping that you will get impatient and turn your order into a market order and they could potentially earn an "Add Liquidity" exchange fees. Happens more often in less liquid options of smaller companies I find.

That's my educated guess. Would be interested to know the real reason still.

 

[FSU]

Cttfs, I see this happen all the time. I don't believe it has to do with removing liquidity charges as JSOP suggests, as the MM would face the same charges trading with you when your order is resubmitted.

I believe it has to do with simply being a new order that goes through an price improvement auction https://www.cboe.org/trading/electronic-auctions The systems see it as a new order and there is more interest in it then a standing order. Just a guess.

I see this all the time. What's funny is quite often I am filled at a better price then I was offering an option, simply by canceling and resubmitting. I find this especially true with spreads.