open book level 2 or market maker pricing

A

Abundance Magnet

Hi,

what is open book level 2 data access?
i've also heard the term 'deep book', what is that?

I was speaking to my broker's trade desk (for options), and in discussion of my fill, he was also able to tell me what the current MM's bid and ask were. I think this would be very helpful to try to get the best possible 'mid' available. This is especially true for less liquid options or those that have a wide B-A.

Does anyone know what that type of data access is called? I'm sure there will be a cost to it but at least I can then do a cost-benefit analysis.

As well, is this different for spx and ndx? I know ndx is a bit of it's own creature...

thank you
 
Robert Morse said:
Who is your broker?
I have never heard of an option market data feed that points out broker dealer or MM orders vs customer.
More...
I suspect this was a colloquial "maker" vs "taker" rather than a statement that registered MMs are disclosed with their orders.

That said, it only takes a minute of watching the top of book to figure out who has the software and what exchanges they duplicate the orders on (thus a MM).

For OP: depth of market (DOM) and L2 are the same thing and they refer to seeing the orders on each subscribed book below the BBO on that exchange. I.e. Bid of 19.05 on ARCA, you could see the bids under 19.05 on ARCA.
 
Robert Morse said:
Who is your broker?
I have never heard of an option market data feed that points out broker dealer or MM orders vs customer.
More...

A quote feed can include customer vs non-customer flag. Of course this doesn't tell you that it's a MM.
 
beerntrading said:
I suspect this was a colloquial "maker" vs "taker" rather than a statement that registered MMs are disclosed with their orders.

That said, it only takes a minute of watching the top of book to figure out who has the software and what exchanges they duplicate the orders on (thus a MM).

For OP: depth of market (DOM) and L2 are the same thing and they refer to seeing the orders on each subscribed book below the BBO on that exchange. I.e. Bid of 19.05 on ARCA, you could see the bids under 19.05 on ARCA.
More...
You're probably right about the colloquial part. What bugs me is setting the offer price seeing it become the bid or ask, and then cancelling it only to see it returned to a previous price instantly. In other words, there is the mm bid price and what customer would use as their bid price... And then setting a mid between the mm's bid vs the customers bid is irritating. I emotion a true mid of the mms B-A. Sorry, I'm venting a little bit. I've been burned before.
 
Abundance Magnet said:
You're probably right about the colloquial part. What bugs me is setting the offer price seeing it become the bid or ask, and then cancelling it only to see it returned to a previous price instantly. In other words, there is the mm bid price and what customer would use as their bid price... And then setting a mid between the mm's bid vs the customers bid is irritating. I emotion a true mid of the mms B-A. Sorry, I'm venting a little bit. I've been burned before.
More...
Add "model value" in your chains...and the remember to compare it to both the put and call side. It's quick and dirty (and not necessarily accurate), but provides a good mile post of relative value. Forget about the midpoint. It's meaningless on options...it presumes supply and demand exist in stasis. And try resting a buy order on the bid; most likely the market makers will lift their orders to see if you're is legit ("look forward" orders don't work in when lots). Point being you'll be front of line. Use IB's "SMART max rebate" setting and you'll usually end up on the super liquid BATS / CBOE / CBOE2 exchanges (and remember, your commission is probably worth less than getting filled if you can't get routed and want to direct route)
 
beerntrading said:
Add "model value" in your chains...and the remember to compare it to both the put and call side. It's quick and dirty (and not necessarily accurate), but provides a good mile post of relative value. Forget about the midpoint. It's meaningless on options...it presumes supply and demand exist in stasis. And try resting a buy order on the bid; most likely the market makers will lift their orders to see if you're is legit ("look forward" orders don't work in when lots). Point being you'll be front of line. Use IB's "SMART max rebate" setting and you'll usually end up on the super liquid BATS / CBOE / CBOE2 exchanges (and remember, your commission is probably worth less than getting filled if you can't get routed and want to direct route)
More...

Resting buy order? What is that?

Doesnt the broker send it to the open market meaning it goes to all the exchanges? I don't care about the commission if I get the better fill price... To me that is tripping over pennies when there are dollars around. Or am I incorrect on that one?
 
Abundance Magnet said:
Resting buy order? What is that?

Doesnt the broker send it to the open market meaning it goes to all the exchanges? I don't care about the commission if I get the better fill price... To me that is tripping over pennies when there are dollars around. Or am I incorrect on that one?
More...
A resting order is one that isn't immediately filled. And your broker sends it to a single exchange (usually...unless you're talking 6 or 7 figures)
 
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