Seeking execution service

F

Fermion

I have an innovative stochastic process that I have been testing (paper-trading) with US equity options that is showing good gains. My VC backers are about to commit approx $1m for real-time testing. The strategy I have been employing is delta-neutral and relies on calibrating the model to the options market and trading contracts that are out of line. I am looking for a brokerage/electronic trading service that

1. Permits multiple small trades (even single contracts) daily
2. Has portfolio margining (separate margining of individual contracts would destroy my leverage)
3. Has fast execution
4. With minimal fees
5. Optimally (but perhaps not essential) gurantees full execution or none for multi-leg combos.

Ideally there will be an electronic platform that enables me to get a full option chain (up to 2-300 contracts in some cases) into my own valuation software (VC++) and accepts trade orders by return.

Suggestions have been made concerning high-priced brokers that seem, by my estimation, to require me to have at least $100m to trade! I have looked at Interactive Brokers' web-site. They look as though they can handle the job except that they might not provide me with a full option chain. I posted a request to them for a contact person, but no one has got back to me.

I have seen some comments here regading IB, so I imagine there are some people with substantial experience of them.

Can someone comment on their suitability for my requirements or on alternatives?
 
First of all, your system cannot automatically submit option orders without human intervention. It's agains the regulation.

I'm pretty sure you can see the full chains in IB. You can also look at thinkorswim, either their retail platform or their institutional platform, just talk to them and see what they have to offer.
 
Quote from Fermion:

I have an innovative stochastic process that I have been testing (paper-trading) with US equity options that is showing good gains. My VC backers are about to commit approx $1m for real-time testing. The strategy I have been employing is delta-neutral and relies on calibrating the model to the options market and trading contracts that are out of line. I am looking for a brokerage/electronic trading service that

1. Permits multiple small trades (even single contracts) daily
2. Has portfolio margining (separate margining of individual contracts would destroy my leverage)
3. Has fast execution
4. With minimal fees
5. Optimally (but perhaps not essential) gurantees full execution or none for multi-leg combos.

Ideally there will be an electronic platform that enables me to get a full option chain (up to 2-300 contracts in some cases) into my own valuation software (VC++) and accepts trade orders by return.

Suggestions have been made concerning high-priced brokers that seem, by my estimation, to require me to have at least $100m to trade! I have looked at Interactive Brokers' web-site. They look as though they can handle the job except that they might not provide me with a full option chain. I posted a request to them for a contact person, but no one has got back to me.

I have seen some comments here regading IB, so I imagine there are some people with substantial experience of them.

Can someone comment on their suitability for my requirements or on alternatives?
More...

Could you tell a bit about how you formed your VC backers? If it is just people you happen to know, that is not scalable. If otherwise, please share.
 
You could also consider choosing a data provider and an execution provider separately, to get the best of each and not have to compromise.

For example, e-signal has full option chain capabilities. You could pay for their datafeed in order to evaluate options. For the execution you could then choose whatever company provides the best execution, even if their datafeed capabilities are not that great.
 
Quote from MTE:

First of all, your system cannot automatically submit option orders without human intervention. It's agains the regulation.

I'm pretty sure you can see the full chains in IB. You can also look at thinkorswim, either their retail platform or their institutional platform, just talk to them and see what they have to offer.
More...
My system is not automated. It requires me to make a decision and click a button to trigger a trade. What I want to avoid, if I can, is build the trade in my software and, when I am satisfied, re-enter the whole thing in the trading platform. Alternatively, I could build the trade in the trading platform (if it has such a facility) but I would then need to pass valuations from my software.

As I see it, IB limits you to 100 symbols. A full option chain for a major stock can be several multiples of that.

Thinkorswim tell me they don't support an API of the sort I need.
 
Quote from riskfreetrading:

Could you tell a bit about how you formed your VC backers? If it is just people you happen to know, that is not scalable. If otherwise, please share.
More...

A Private Equity company. They will hopefully have the capability to scale things up.
 
Quote from total_keops:

Good to see some people are doing some serious things.
You may want to contact;
http://www.limebrokerage.com

I have no experience with them but I think they are above the average retail broker. No clue about fees.
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I checked your link. They say they clear through Goldman Sachs. GS do not offer portfolio margining to accounts less than $5m. And they kill it if your liquidation value drops below $5m. This pretty much rules them out until I have considerably more funds to trade.
 
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