I couldn't find very much info on this online. The TOS demo, which is supposed to have a 20 minute delay feed, occasionally shows SPX spreads that have a negative midpoint value. What is the reason for this?
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Negative SPX midpoints?
- Thread starter darkshogun
- Start date
marks moving around. it's not real and you will never be able to trade on it.
Do your backtesting on the SPY. Screens are tighter and it will probably yield more realistic executions.
Do your backtesting on the SPY. Screens are tighter and it will probably yield more realistic executions.
marks moving around. it's not real and you will never be able to trade on it.
Do your backtesting on the SPY. Screens are tighter and it will probably yield more realistic executions.
Thank for the advice. Does this apply to only the negative marks or to all of the marks? Are the changes in the midpoints of the positive marks real? Something's got to be real to know what midpoint to enter.
Thank for the advice. Does this apply to only the negative marks or to all of the marks? Are the changes in the midpoints of the positive marks real? Something's got to be real to know what midpoint to enter.
No, they are not real. For example, say the April 1900 call in SPX is 15.00 bid at 16.00 offered. And say I, a retail customer come in to offer to sell at 15.50. And let's assume for the sake of this argument that the so called "market fair value" is 15.50. Well, TOS is now going to show the mid at 15.25. But that is NOT the mid. The mid is 15.50. Just because I'm offering a one lot at 15.50 does not mean the fair value has suddenly changed by .25. Nor does it mean that if you try to bid or offer at 15.25 that you will get a fill. In fact, it's highly unlikely I'll get filled at 15.50 and and unless you are trying to sell at 15.25, it's doubtfull you will get filled.
You need to trade off of the fair values of SPX. TOS can generate a theo for you or better yet, you can have excel do it for you.
Thank for the advice. Does this apply to only the negative marks or to all of the marks? Are the changes in the midpoints of the positive marks real? Something's got to be real to know what midpoint to enter.
If they are violating the simplest no aribitrage principles then the entire system is suspect. I wouldn't be using it under any circumstances.
It's like using Excel if there is a bug in the addition calculation.
Mid values on SPX are almost meaningless. The real markets are actually very tight on SPX, but an average retail investor will never know them. SPX is tailored more for the institutional investors.