Mass Quoting

sle said:
Really depends on your asset class. Citadel would be a safe bet for pretty much anything.
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But those, Citadel, Virtu, Optiver etc... they have their own in-house software. That's not for retail use... you can't buy a lease on those.

Off the shelf, I traded with Actant, RTS (bought by Bloomberg a few years back), Sol-3 as a MM. Have a look, but I don't know if they do individual leases. Maybe Actant will, pretty sure Sol-3 won't. And I don't know the status of RTS/Bloomberg.

@CommodsTrader, what is it you're aiming to do? If you're just looking to be a retail and do a few quotes... I doubt it's going to be worth it. You're be looking at $30k /yr minimum cost for the package. And I doubt they are looking forward to providing a non-pro which will require a lot of after-sales-service...
 
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JackRab said:
But those, Citadel, Virtu, Optiver etc... they have their own in-house software. That's not for retail use... you can't buy a lease on those.

Off the shelf, I traded with Actant, RTS (bought by Bloomberg a few years back), Sol-3 as a MM. Have a look, but I don't know if they do individual leases. Maybe Actant will, pretty sure Sol-3 won't. And I don't know the status of RTS/Bloomberg.

@CommodsTrader, what is it you're aiming to do? If you're just looking to be a retail and do a few quotes... I doubt it's going to be worth it. You're be looking at $30k /yr minimum cost for the package. And I doubt they are looking forward to providing a non-pro which will require a lot of after-sales-service...
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@JackRab I was a market maker for many years for a firm where everything was built in house. I'm possibly looking to trade the same on my own so need to lease the platform from somewhere else. I am aware of the costs for such a platform and the bandwidth I may need. I plan to mass quote and am looking for something with decent speed and preformance given that it will only be a lease and not built in house.
 
Aside from the software cost, does anyone have a ballpark idea of what investment is required from a hardware/co-lo standpoint in order to avoid getting picked off with sharp delta moves? Asking more out of curiosity after trying to use the VOL order type at IB a few times and almost always getting picked off when the underlying jumped. I'd imagine IB piggybacks TH infrastructure to manage these orders, so one would need to be really fast in order to get out of the way in any high delta, tight spread option.
 
jtrader33 said:
Aside from the software cost, does anyone have a ballpark idea of what investment is required from a hardware/co-lo standpoint in order to avoid getting picked off with sharp delta moves? Asking more out of curiosity after trying to use the VOL order type at IB a few times and almost always getting picked off when the underlying jumped. I'd imagine IB piggybacks TH infrastructure to manage these orders, so one would need to be really fast in order to get out of the way in any high delta, tight spread option.
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I wouldn't do that stuff with any pure retail broker. IB's IV calculations are patchy at best. Unreliable for quoting etc. So you would need to program your own pricing and vol calculations. And on top of that, it's a lot slower than you need for proper quoting... 1 second late, or less even... and you'll be arbitraged.

Even pros with proprietary software to mass quote sometimes have difficulties in speed and large jumps.
 
This and order pulling is the key problem with current AMM practices. This is exactly why IB single stock desks are still in business, they have the balls to quote in size and tied to the stock.

jtrader33 said:
Aside from the software cost, does anyone have a ballpark idea of what investment is required from a hardware/co-lo standpoint in order to avoid getting picked off with sharp delta moves? Asking more out of curiosity after trying to use the VOL order type at IB a few times and almost always getting picked off when the underlying jumped. I'd imagine IB piggybacks TH infrastructure to manage these orders, so one would need to be really fast in order to get out of the way in any high delta, tight spread option.
More...
 
JackRab said:
I wouldn't do that stuff with any pure retail broker. IB's IV calculations are patchy at best. Unreliable for quoting etc. So you would need to program your own pricing and vol calculations. And on top of that, it's a lot slower than you need for proper quoting... 1 second late, or less even... and you'll be arbitraged.

Even pros with proprietary software to mass quote sometimes have difficulties in speed and large jumps.
More...

I hear you on the IV calculations for mass quoting, but on a single order basis I've always been able to calibrate effectively enough to get the desired behavior. Your second point was more of what I was driving at; one would think that TH's technology would have to be capable of getting out of the way of delta jumps. Perhaps not, and they simply go wider on the more vulnerable options.
 
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