Option Spread Fills

[uptickk]

Quick question regarding option spread fills. Lets say I have a limit order to short 30 vertical spreads (SPX) but they are broken up into 6 orders of 5 spreads each. Is there any reasoning why I would get filled on all 6 orders at the same time but only get 4 of the 5 spreads in each order filled? I am assuming there are a number of orders at my limit that are for 4 contracts each but it happens often enough I thought I would ask.

Thanks

 

[dragonman]

Quote from uptickk:

Quick question regarding option spread fills. Lets say I have a limit order to short 30 vertical spreads (SPX) but they are broken up into 6 orders of 5 spreads each. Is there any reasoning why I would get filled on all 6 orders at the same time but only get 4 of the 5 spreads in each order filled? I am assuming there are a number of orders at my limit that are for 4 contracts each but it happens often enough I thought I would ask.

Thanks

Regarding your example, I would assume that if you want to short 30 verticals and the other side is willing to long the same 24 verticals at your limit then the exchange's algorithm just splits the orders equally between the currently open orders and therefore only 4 out of 5 (times 6) get filled.

However, this is only a guess and if someone here is more familiar with the execution process in this regard I would be happy to read a more informed answer.

 

[489]

If you send 6 different 5 lot orders, they will be ranked in time priority by CBOE upon receipt by the exchange. Therefore an execution of 24 spreads will result in fills for the first 4 orders (20 contracts), a partial 4 lot for the 5th order, and nothing done on the last order.

 

[uptickk]

Quote from 489:

If you send 6 different 5 lot orders, they will be ranked in time priority by CBOE upon receipt by the exchange. Therefore an execution of 24 spreads will result in fills for the first 4 orders (20 contracts), a partial 4 lot for the 5th order, and nothing done on the last order.

This is what I was thinking should happen but it occurs often enough where the first 4 orders don’t get fully filled and I get partials on all 6 orders. Additionally, the remaining 1 contract on the 6 orders generally doesn’t get it, unless there is a larger price move, so I have to put in more 5 contract orders to get additional fills. It’s like there is another input to the time and priority hierarchy.