Only 3000 or 4000 underlying even have options. Within that maybe 1600 trade actively. I also read that the top 900 stocks account for 95% of all option trades. So it sounds like sticking to those 900 when possible may improve the problems I've raised. It could also be that when I post my bid I get sent to one of the 6 options exchanges, but that TWS then shows me activity taking place at other exchanges. The tickers above are among the 1600, but apparently many are not among the 900.
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Odd Lots?
- Thread starter luh3417
- Start date
I'd guess it's closer to the top 200 accounting for 95% of the volume. The QQQQ's and GOOG do a lot of the damage.
You can still trade the stocks you want to trade, just adjust your expectations accordingly. I'm not sure how TWS routes options orders, but from the lack of complaints I've heard their SMART routing should be getting you the best price 99.99% of the time. I doubt you're sitting at one exchange while folks get filled at another, unless you're routing your order yourself.
I believe a lot of the difficulty you're having getting filled is a leg from a spread order jumping in front of you, but I'm guessing.
No need to abandon your plan, just tweak your expectations.
By the way I finally got filled on that diagonal, after 2-3 hours.
You can still trade the stocks you want to trade, just adjust your expectations accordingly. I'm not sure how TWS routes options orders, but from the lack of complaints I've heard their SMART routing should be getting you the best price 99.99% of the time. I doubt you're sitting at one exchange while folks get filled at another, unless you're routing your order yourself.
I believe a lot of the difficulty you're having getting filled is a leg from a spread order jumping in front of you, but I'm guessing.
No need to abandon your plan, just tweak your expectations.
By the way I finally got filled on that diagonal, after 2-3 hours.
Quote from luh3417:
Only 3000 or 4000 underlying even have options. Within that maybe 1600 trade actively. I also read that the top 900 stocks account for 95% of all option trades. So it sounds like sticking to those 900 when possible may improve the problems I've raised. It could also be that when I post my bid I get sent to one of the 6 options exchanges, but that TWS then shows me activity taking place at other exchanges. The tickers above are among the 1600, but apparently many are not among the 900.
I'd guess it's closer to the top 200 accounting for 95% of the volume. The QQQQ's and GOOG do a lot of the damage.
You can still trade the stocks you want to trade, just adjust your expectations accordingly. I'm not sure how TWS routes options orders, but from the lack of complaints I've heard their SMART routing should be getting you the best price 99.99% of the time. I doubt you're sitting at one exchange while folks get filled at another, unless you're routing your order yourself.
I believe a lot of the difficulty you're having getting filled is a leg from a spread order jumping in front of you, but I'm guessing.
No need to abandon your plan, just tweak your expectations.
By the way I finally got filled on that diagonal, after a couple of hours.
You can still trade the stocks you want to trade, just adjust your expectations accordingly. I'm not sure how TWS routes options orders, but from the lack of complaints I've heard their SMART routing should be getting you the best price 99.99% of the time. I doubt you're sitting at one exchange while folks get filled at another, unless you're routing your order yourself.
I believe a lot of the difficulty you're having getting filled is a leg from a spread order jumping in front of you, but I'm guessing.
No need to abandon your plan, just tweak your expectations.
By the way I finally got filled on that diagonal, after a couple of hours.
Quote from luh3417:
Only 3000 or 4000 underlying even have options. Within that maybe 1600 trade actively. I also read that the top 900 stocks account for 95% of all option trades. So it sounds like sticking to those 900 when possible may improve the problems I've raised. It could also be that when I post my bid I get sent to one of the 6 options exchanges, but that TWS then shows me activity taking place at other exchanges. The tickers above are among the 1600, but apparently many are not among the 900.
Quote from luh3417:
I've been trying to trade odd lots of options contracts using limit orders and I've noticed two things.
1. It seems like even if I'm the best bid often nobody will sell me a contract.
2. It seems like even if I'm the first bid at a given price, and then the stock moves down and other bids pile on top of mine, its not first in, first out, it seems like everyone elses round lot orders will get filled long before mine does. It almost seems like I'm the LAST bid filled, and then only when the stock moves down even further and the market maker has no choice but to move on to the next (lower) pile of bids in the book.
Am I correct in these observations? I'm trying to read between the lines of all the data flowing by on my IB TWS window. Is this all just, tough titties? The only way around it is to round out my lots to 10 (5?) contracts? (Hard for me to do that since the account is undercapitalized and I want some diversification, but its going to be even more undercapitalized if I keep facing worsened liquidity due to how the MMs are treating me). (Granted, 1. is not directly attibutable to the MMs, but it is a knock on effect if I am correct about 2.)
Could any of you more experienced traders give us the benefit of your experience? You only trade multiples of 10 option contract? What do I need to understand about how the MMs behave and what rules govern their behavior?
Are you routing directly to specific exchanges, or not?
Quote from luh3417:
Using SMART routing. I'd like to use Box and price improvement, but IB charges extra when you direct route, and it seems this would cancel out any savings from the 50% chance of a penny (buck) or two price improvment.
Well, there's your problem. All of your orders are being routed to whichever exchange pays IB the highest kickbacks. Probably PHLX or PSE. Most of the fills going off at your price (but not hitting your bid) are ISE and CBOE orders.
It does seem like an inordinate number of the stale unfilled orders are PHLX. (I am assuming I can use the numbers flashing by on TWS (are they called level II quotes?) to see others getting filled at the price I staked out). I mean it the volume numbers at my bid spin up and down while my limit order just sits there, so that must mean that I'm at some backwater exchange but helping others to get action at the other exchanges?
So, SMART means: SMART for IB, not for me?
Do all 6 options exchanges give kickbacks (maybe they have a nicer word they use)?
And SMART picks the one that kicks the most back to IB? And its mostly PHLX, but its CBOE on rare occasions?
So, SMART means: SMART for IB, not for me?
Do all 6 options exchanges give kickbacks (maybe they have a nicer word they use)?
And SMART picks the one that kicks the most back to IB? And its mostly PHLX, but its CBOE on rare occasions?
Obviously I'm not familiar with IB's "SMART" routing. If they're constantly routing you to PHLX or PSE then it's a problem. At least they didn't send you to the AMEX.
Quote from Rearden Metal:
Well, there's your problem. All of your orders are being routed to whichever exchange pays IB the highest kickbacks. Probably PHLX or PSE. Most of the fills going off at your price (but not hitting your bid) are ISE and CBOE orders.
Definitely noticing IB routing a lot of my options trades to PHLX. WTF is the problem with PHLX? They're trying to get more transactions, so they pay larger fees than other exchanges, and IB charges low fees, but they make it up on the kickback from the exchange... But then the execution suffers because... PHLX is smaller and has less volume, which is why they fattened up their kickbacks in the first place? I guess I can pay $1 more a contract (that's MY kickback) to route to... CBOE... they have better executions? I mean often shelling out an extra buck a contract may be well worth it compared to going unfilled, under some situations.