Looking for efficient way to compare bids/asks on vertical call spreads

L

Larry_G

I trade vertical call spreads. My system starts with a series of scans. Some of the scans use Thinkorswim tools (e.g., Spread Hacker), exporting the results to a file, which then becomes the input for scans I have written in Visual Basic.

The end result of the process is usually five to ten "candidate" vertical call spreads.

I want the next (and last) step in this process to be an efficient review of the bid/ask spreads; i.e., how large is the gap between the bid and ask for each candidate vertical spread.

This is where I am stuck. If you have any suggestions for an efficient way to review and compare the bid/ask for each of my candidate vertical spreads, it would be greatly appreciated.

Thanks in advance,
Larry_G
 
Why not use RTD in Excel to pull exactly what you want and perform whatever algo's you desire? Via RTD, you can access the BID/ASK/OpenInterest/Volume/LAST, and pretty much any info you desire.
You may also wish to accumulate results overtime to observe changes, if that interests you -- this will require accumulation of data, which may require some thought if you don't have software background.
 
Another thought: I think your evaluation, may need to be specific for the underlying you are referencing! Criteria for RUT or SPX may be quite different for FB or TSLA, and different again for IWM or SPY. (IWM & SPY being the most trivial to evaluate due to the liquidity and relative stability)
 
Correct! -- Excel (and only Excel) supports a RTD mechanism that TOS also supports.
Below is a sample formula in Excel to reference a specific BID price on an option:
=RTD("tos.rtd",,"BID",".SPX170217P2255")
 
Wow, I had no idea that I could do that with Excel. I'll try to learn how to use it for this. Any tips on how to do so would be appreciated.

Thanks very much!
 
There is more info about this than you can shake a stick at! --
You can go to a trade page in TOS, and near the upper right corner, click on the icon to the right of the "gear", then ->Export ->to Microsoft Excel. Then Paste to an open Excel sheet.
This provides some examples that may be of interest to observe.
Also, check this link out: "https://www.lockeinyoursuccess.com/connecting-thinkorswim-to-excel-part-1-of-4/"
or just google "how to RTD with TOS"
 
Last edited:
I do this on each "snapshot" of SPX I gather from IB (.csv by 3 mouse clicks).
I happen to do 8 total, to assess market anamolies; the four shown include
bid/ask spreads.
 

Attachments

I am so grateful for the willingness to share experience and knowledge which you folks have shown. Hope I can share some of my meager stock some day.
 
You must log in or register to reply here.
Back
Top