Rookie Question of Fills

Scataphagos said:
Fidelity Active Trader. Oops... I checked and can add Bid and Ask size columns.. the default setting didn't include those.
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Now that I have the Bid/Ask columns up, I see lots of fluctuations in the sizes, but little in the way of volume. Do option players cancel lots of orders? Spoofing?
 
I never look at bid/ask sizes and get reasonable fills all the time. The thing is I only trade super liquid indexes and ETFs like SPY.
For individual stocks it's trickier. Sticking with stocks with a minimum price (maybe $20 or $30) and a minimum average daily volume (maybe 1M shares) definitely helps improve your fills.
 
Scataphagos said:
Now that I have the Bid/Ask columns up, I see lots of fluctuations in the sizes, but little in the way of volume. Do option players cancel lots of orders? Spoofing?
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You are looking at many option market makers adding their own markets to the NBBO. They can move in and out of that NBBO very often as the stock moves. That is not spoofing.
 
Robert Morse said:
You are looking at many option market makers adding their own markets to the NBBO. They can move in and out of that NBBO very often as the stock moves. That is not spoofing.
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OK, thanks. 'Nother question. I see size fluctuation up and down as you say, but no volume as of yet. Does the Bid and Ask sizes reflect the number of contracts at the current stated Bid/Offer and not like the DOM in the ES where Bid/Ask volume is shown for 10 prices above and below. Seems a bit odd to me to see 1000 contracts bid and ask with zero volume. Nobody bid/ask between the posted spread?
 
Yes, the Bid and Ask sizes reflect the number of contracts at the current stated Bid/Offer. If it is multiple listed, that total is from different exchanges. ES is a single listed product so the bid/ask is from one exchange. AAPL could be from 15 option exchanges.

What symbol.
 
Robert Morse said:
Yes, the Bid and Ask sizes reflect the number of contracts at the current stated Bid/Offer. If it is multiple listed, that total is from different exchanges. ES is a single listed product so the bid/ask is from one exchange. AAPL could be from 15 option exchanges.

What symbol.
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WFC, Jun 16 50C
 
Looks like a bunch of MM all sending out he same markets on many exchanges. Dividend is next week and almost the cost of the put.

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Robert Morse said:
In general, a market maker will trade with you when their system sees an edge. The open interest is only important if you expect to trade with other customer orders, not the MM. They don't care if they are opening or closing. What I do for wide markets, is determine the most I will pay for an options with the stock trading at the price, then enter an order lower than that, and move my limit up every 5 to 10 seconds looking for liquidity and a seller. I call this walking my order up. I find it works well, unless the order size is quite large. then I would do the same thing but with an iceberg order to hide my size.
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Can you explain the iceberg order?

I made a mistake a while back that was kind interesting. I had an open limit order that I was changing to a market to get a fill...or at least thought I was. I actually placed the same order twice (1 limit, 1 market), and both filled approximately simultaneously (both during the same second). Bit the limit filled .01 above the limit (credit spread), and the market a penny above that. Both inside the bxa spread, but the market got a better price.
 
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