Spread Execution Software

J

jones247

I'm having a problem with Interactive Brokers. I'm interested in executing a spread that often will include 3 - 5 different treasury instruments. For example, I want to trade the UB, ZB, ZN & ZF simultaneously as one spread trade. The problem is that IB only allows 2 legs for "non-guarantee" spreads. Legging into the positions is creating slippage and costing me $$.

Is there a software application compatible with IB that allows you to trade non-guarantee spreads as one transactions without legging in via two spreads? It would be great if the software is reasonably priced and allows for automated or semi-automated order execution.

thanks for any help you can provide...

Walt
 
the only completely safe spread executions are through the ICS (implied calendar spread) markets. if you want an auto-spreader that will leg into positions for you based on the spread valuations you put you will always have some slippage risk but i use TT's XTrader for my spreading (although i honestly still point/click execute most of my trades- by the time the autospreader is about to get filled i often think i can leg in/out better than it is going to execute at due to the size of leans and hoping i can squeeze that extra half tic). i'm not sure if IB supports Xtrader though but i'd assume they do.
 
thanks for your reply DM... what I'm looking for is a software that will execute all legs of an intercommodity spread simultaneously. I wouldn't want the software to leg into the transaction, as the risk/exposure wouldn't warrant the benefit of legging into the spread.

btw... does anyone have experience with Ninja Trader or Cyborg Trading in regards to spread trading of various intercommodity treasury legs as one simultaneous transaction?

thanks,

Walt
 
Quote from jones247:

I'm having a problem with Interactive Brokers. I'm interested in executing a spread that often will include 3 - 5 different treasury instruments. For example, I want to trade the UB, ZB, ZN & ZF simultaneously as one spread trade. The problem is that IB only allows 2 legs for "non-guarantee" spreads. Legging into the positions is creating slippage and costing me $$.

Is there a software application compatible with IB that allows you to trade non-guarantee spreads as one transactions without legging in via two spreads? It would be great if the software is reasonably priced and allows for automated or semi-automated order execution.

thanks for any help you can provide...

Walt
More...

No because IB has to take risk in filling such spreads and no third-party front-end can force IB to take still more risk.
 
Quote from jones247:

thanks for your reply DM... what I'm looking for is a software that will execute all legs of an intercommodity spread simultaneously. I wouldn't want the software to leg into the transaction, as the risk/exposure wouldn't warrant the benefit of legging into the spread.

btw... does anyone have experience with Ninja Trader or Cyborg Trading in regards to spread trading of various intercommodity treasury legs as one simultaneous transaction?

thanks,

Walt
More...

When you say simultaneous execution, are you planning to buy at ask and sell at bid at the same time across 4 different legs?

If this is what you are trying to do then this is possible through IB - just use their API and write a macro to simultaneously send 4 orders across these 4 legs by clicking on a single button.
 
even when giving up all edges there is still a risk of missing something. my autospreaders generally can hedge 4 legs inside of .02 seconds and i get hung up all the time.
 
I would be fine with buying at the ask and selling at the bid; however, I have no coding skills. It would be easier for me to pay someone to code that for me.

Do you have any suggestions?

thanks,

Walt
 
How much would you charge?

Quote from gmst:

When you say simultaneous execution, are you planning to buy at ask and sell at bid at the same time across 4 different legs?

If this is what you are trying to do then this is possible through IB - just use their API and write a macro to simultaneously send 4 orders across these 4 legs by clicking on a single button.
More...
 
Quote from jones247:

How much would you charge?
More...

Sorry, but I am currently too busy with other projects. Once I get free with my current developmental projects, I am going to code something similar for myself. Then I can send it to you.
 
thanks...

Quote from gmst:

Sorry, but I am currently too busy with other projects. Once I get free with my current developmental projects, I am going to code something similar for myself. Then I can send it to you.
More...
 
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