Option spread execution

Quote from FSU:

TOS option fees are "all in" They don't add more for exchange fees like most brokers. So if you are trading proprietary products such as VIX SPX OEX which charge exchange fees, you get a savings vs trading these products with IB.
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Does, your calculation should consider all costs, including exercise/assignment fees (TOS from there site says $19.99 for E & A), cost of financing and most important, quality of fills.
 
Quote from IR_Trader:

For the example Iron Condor trade I provided, I take into account E&A and financing costs . However, how can I quantify any additional costs associated with 'quality of fills'? Is that fee deterministic? and if so, how is it computed?

I'm just going off of what I was told by a support agent, and what is documented in their fee structure:
https://www.thinkorswim.com/tos/myAccounts/displayRates.tos#
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Quality of execution, you need to compare side by side and make the comparison. 1 penny difference on a fill in your example = $25.

I also don't see where you include E&A costs in your example which if I read their fee schedule correctly, would make them more expensive assuming you let the condor expire.
 
Quote from IR_Trader:

For the example Iron Condor trade I provided, I take into account E&A and financing costs . However, how can I quantify any additional costs associated with 'quality of fills'? Is that fee deterministic? and if so, how is it computed?

I'm just going off of what I was told by a support agent, and what is documented in their fee structure:
https://www.thinkorswim.com/tos/myAccounts/displayRates.tos#
More...
What's the best way to enter into an IC ? Is it best to "leg" into it with a limit order for one spread, and then go "market" with the other leg if that gets hit ?
 
Quote from def:

Quality of execution, you need to compare side by side and make the comparison. 1 penny difference on a fill in your example = $25.

I also don't see where you include E&A costs in your example which if I read their fee schedule correctly, would make them more expensive assuming you let the condor expire.
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Sorry, I'm assuming the IC is closed out and not help to expiry...and there is not holding of the underlying.

I see what you mean about the quality of fill - that is not a fee, nor is it deterministic. It is quite relevant to the overall P&L of the trade though.

I'm new to this board, but I'm sure there has been healthy discussion of IB vs TOS quality of fill in past threads. I'll look back and see what folks have had to say about the comparison.

Thanks!
 
Quote from syswizard:

What's the best way to enter into an IC ? Is it best to "leg" into it with a limit order for one spread, and then go "market" with the other leg if that gets hit ?
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What's best is what gets you the best price and that is determined by who shows up on the other side of the trade and what they're willing to pay/receive. It's also somewhat dependent on how wide the B/A spread is (doing it your way amkes sense with narrower spreads but not with really wide ones).

With standard multiple positions, it's not a bad idea to set up multiple component orders because sometimes someone is willing to bid/offer more/less than the natural. IOW, an IC could be set up as an IC, two verticals, or two strangles.
 
Quote from def:

Does, your calculation should consider all costs, including exercise/assignment fees (TOS from there site says $19.99 for E & A), cost of financing and most important, quality of fills.
More...

I was merely pointing out the fact that IB charges extra for exchange fees in the SPX (the product the OP originally asked about). In terms of fills, if an order is sent to the SPX weekly, the condors would be sent to the CBOE's electronic spread book (the COB) so I would expect the fills to be identical. If the condor is for the SPX monthly, IB has their own brokers in this pit (who I know are very good) and TOS contracts with a broker. Each firm has their own parameters on whether to send the condor to the COB or the pit broker. If the order is sent to the COB, again the fill would be the same between either firm. If the condor is sent to the floor broker, the fills may differ.
 
Quote from syswizard:

What's the best way to enter into an IC ? Is it best to "leg" into it with a limit order for one spread, and then go "market" with the other leg if that gets hit ?
More...

Your best bet is putting it in as a spread. From watching the SPX condors in the COB they are generally filled within .10 of 'fair value", sometimes less. I think if you leg the spread, you have more risk. Definitely don't put a market order in on one side.
 
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