option fill Qs and observations

[Abundance Magnet]

'NBBO' stands for 'National Best Bid and Offer'. All the quotes/orders of all of the 15 option exchanges are consolidated into 1 feed.

hmmm... can you get that with IB or other provider? I haven't seen that offering before... where can i get something like that?

 

[rb7]

hmmm... can you get that with IB or other provider? I haven't seen that offering before... where can i get something like that?

By default, the level I that you'll see is the NBBO. As for level II, I don't know. Entities that want to offer level II on options need to get all individual feed for each exchange and do the consolidation themselves.
Level I NBBO is offered by OPRA in one single feed. Not level II.

 

[Abundance Magnet]

By default, the level I that you'll see is the NBBO. As for level II, I don't know. Entities that want to offer level II on options need to get all individual feed for each exchange and do the consolidation themselves.
Level I NBBO is offered by OPRA in one single feed. Not level II.

after testing and figuring things out, this is not what I need. It's not like I grabbed the 1 lot bid and then got filled at other prices. I got filled in between the bid and ask, so there's no data out there on what was available at that price. My guess is that my fills either filled a spread, or the MMs decided that they would take it at X+.5 even tho the bid was at X. i.e., what they publish what they will take it for, vs what they are actually willing to take it for.

 

[rb7]

after testing and figuring things out, this is not what I need. It's not like I grabbed the 1 lot bid and then got filled at other prices. I got filled in between the bid and ask, so there's no data out there on what was available at that price. My guess is that my fills either filled a spread, or the MMs decided that they would take it at X+.5 even tho the bid was at X. i.e., what they publish what they will take it for, vs what they are actually willing to take it for.

Where did you get filled?
Which exchange?

 

[Abundance Magnet]

Where did you get filled?
Which exchange?

i don't remember which exchange... essentially filled it BTC at the bid plus 10 cents (initial spread was 40 cents). I was just trying to figure out why sometimes some mid-price (somewhere between bid and ask) get filled instantly whereas others are slow to fill...