Question on Eurex Combo Execution

Well this is bullshit. I don't know where the R/R was trading, but you could have been filled fat on the put. Thanks for being a douche, Bro.

And no, I haven't read it all bc I am at the airport, but WTF.

Regardless, it still doesn't explain the lack of an exchange stamp on the report.
 
DHPHAR: You sent a combo order to Eurex. The broker sends your order at the price you entered to the exchange and because it is a combo, it goes to the Eurex combo order book where the market maker or participant who traded against you on the combo book was probably executing or quoting at a price as wide as they could without causing a trade bust. If as stated above your order was sent as a credit instead of a debit, it would then execute against the prevailing price of the combo quote based on Eurex order matching rules. Below is from Eurex which mentions the separate public order books.

https://www.eurexchange.com/exchang...in-complex-instruments/strategy-trading-13030

Complex instruments are an extended combination trading functionality enabling market participants to create an individual combination of single leg instruments, and to announce this strategy to the entire market. There are four kinds of strategy types:

  • futures combinations (time spreads, packs & bundles, strips, inter-product spreads)
  • standard options strategies, following a strategy template defined by Eurex
  • non-standard options strategies, are freely configurable with up to five options legs
  • option volatility strategies, comprising a variety of option legs against an underlying futures leg
Complex instruments created and published by market participants are visible to the whole market and are traded via separate public order books distinct from the regular option and futures order books. The matching algorithm for orders in complex instruments is based on the principle of price/time priority. Limit orders (including immediate or cancel orders) and quotes are supported for complex instruments. Apart from the mentioned order types any other order type is not allowed for trading in complex instruments.
 
thanks for this write up eastern_warrior.
it is pretty screwed up in TWS that the main book which is used for individual legs' market data and complex instrument price data is in fact not used at all when submitting the complex order. I did not know it is a completely separate world (linked only via outside arbitrage).
Also something I would expect IB/TWS to cover being one of the biggest MM in options... well my bad then... :( and something learned again for not a bad price after all :)
 
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Complex orders are handled with lesser regulation. You can purchase it at the ask and yet not get filled at all. The rules need to change to align those from single with the complex orders.
 
I don’t dispute that it was a one lot. I think the OP has a case, but while he mentions combo in the title he failed to mention the fill on the put. He could have been filled well on the put side of the cover. Individuals are meaningless. You are filled on your limit to buy 3.50 on a spread... WTF do you care what your individuals were on the tape? This was a mkt order for some unknown reason.
 
zoned_post_meridiem said:
NBBO. With one contract, that should be fairly simple to hit.
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Also, you are not guaranteed to fill inside the posted NBBO on a market order. I could probably cite endless examples of singles and spreads(combos) filled at market outside NBBO. It's not common bc I use limits well over 95% of the time.

The weird thing here is the omission of the exchange tag.
 
I will go so far as to state that def is full of shit. Who here is going to admit to internalizing flow.

The R/R in this thread is likely proof that the combo fill was not anywhere near filling inside NBBO *AND* that IBKR internalized/was counter-party on the fill.

What was the fill on the put? What was the NBBO on the R/R combo?

Preface it to state that I am not going to do it, but I could dig through 100 fills on IBTWS where I was filled outside NBBO on mkt orders. Singles, spreads, COB four leg stuff. Mostly DITM singles.
 
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