Tired of option contracts trading through my Limit price. Any way to prevent this?
- Thread starter d0rian
- Start date
He also mentioned that he sees BATS which is the highest paying route.
There is a litany of misunderstanding in this tale.
A couple of questions and some of these points have already been mentioned.
Is your order a simple sell to close or part of spread?
Only Penney pilot names can trade in pennies and I fear your order may simply have been rejected. All spreads can trade in pennies, but single leg orders in non PP names need to be entered in nickels(some strange exceptions).
Option linkage means your order can ship, but you're trying to sell in .20/.25 market so that should still not fill. Preference liquidity allows a ton to print a ahead of you - sucks, but you should bitch at your broker. What did the OPRA tape indicate? If the options that traded ahead of you are part of a spread they can touch the book ahead of you.
Could the lack of a fill relate to payment or maker/taker markets? Sure, but you appear to be getting more than your share. Your broker should bitch at the exchange - there are no option ECNs, but 16 venues can make it difficult. How many venues list it? What size are you trading?
Retail listed is about 40% retail and everything retail is lit - so you could be getting run over, but that just reinforces a poor job by your broker.
What's the NBBO going out after all these trades and a non-fill - back to .20/.30 or does it hang at .20/.25?
Have you omitted any relevant details like at the open or near the close?
"Specifically, the Penny Program allows the quoting and trading of certain option classes in minimum increments of $0.01 for all series in such option classes with a price of less than $3.00; and in minimum increments of $0.05 for all series in such option classes with a price of $3.00 or higher. Options overlying the Invesco QQQ TrustSM (“QQQ”), SPDR® S&P 500® ETF Trust (“SPY”), and iShares® Russell 2000 ETF (“IWM”), however, are quoted and traded in minimum increments of $0.01 for all series regardless of the price."
A couple of questions and some of these points have already been mentioned.
Is your order a simple sell to close or part of spread?
Only Penney pilot names can trade in pennies and I fear your order may simply have been rejected. All spreads can trade in pennies, but single leg orders in non PP names need to be entered in nickels(some strange exceptions).
Option linkage means your order can ship, but you're trying to sell in .20/.25 market so that should still not fill. Preference liquidity allows a ton to print a ahead of you - sucks, but you should bitch at your broker. What did the OPRA tape indicate? If the options that traded ahead of you are part of a spread they can touch the book ahead of you.
Could the lack of a fill relate to payment or maker/taker markets? Sure, but you appear to be getting more than your share. Your broker should bitch at the exchange - there are no option ECNs, but 16 venues can make it difficult. How many venues list it? What size are you trading?
Retail listed is about 40% retail and everything retail is lit - so you could be getting run over, but that just reinforces a poor job by your broker.
What's the NBBO going out after all these trades and a non-fill - back to .20/.30 or does it hang at .20/.25?
Have you omitted any relevant details like at the open or near the close?
"Specifically, the Penny Program allows the quoting and trading of certain option classes in minimum increments of $0.01 for all series in such option classes with a price of less than $3.00; and in minimum increments of $0.05 for all series in such option classes with a price of $3.00 or higher. Options overlying the Invesco QQQ TrustSM (“QQQ”), SPDR® S&P 500® ETF Trust (“SPY”), and iShares® Russell 2000 ETF (“IWM”), however, are quoted and traded in minimum increments of $0.01 for all series regardless of the price."
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When you configure the smart router to aim for best fills and not highest rebates then it will not necessarily attempt fills at BATS.
Robert Morse
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There is more than one reason. Like I said, I'm not interested in writing a white paper on the subject. I will say that it is my best guess with the information presented that the cost for the counter side is the most likely reason. This volume report is from October 23, 2019. Look at CBOE and PHLX volume figures.
It’s taken me years to figure out how to get hit by all the Retail Brokers and $.50 a contract. Unless you’re trading AMC or GME those contracts can sit while IBKR high rebate routes just sit. I can sell 250 contracts using a cheap broker while my 25 with IBKR seem to sit unless I change routes to the correct exchanges. It takes time, going over the tape constantly seeing who MMs thlike.
It isn't your brokers fault. This is the result of the fragmentation in todays marketplace and the rules that favor market makers/hft's etc.
Specifically, in order for you to get filled you would need the following:
1) An opposite order to buy at .25. This will likely be another customer order. Unfortunately, 80 % of all customer orders are bought by HFT's. The HFT will fill the order on an Exchange where you are not offering and you won't get filled.
2) Now for the other 20% of orders. You will need the opposite order to appear on the same Exchange where you are offering (1 in 16 probability in most cases).
3) And finally, you will also lose potential fills because of Price improvement that allows a select few players to step in front of your order and sell at .24.
This is why the system is broken. Even though you are the first to offer at .25 - the probability that you get filled is close to zero. Those who "post liquidity" are not rewarded. Customer priority only exists in name.
So - many retail customers will not even offer at .25 because it is a waste of time. This will result in wider spreads and the buy orders will likely be filled at .30.
My recommendation in this case might be to post a "hidden" offer at .25.
These market share numbers really don't mean anything. For example with respect to the PHLX, most of their volume is BS dividend floor trading.
I do agree that maker/taker fees can only create conflicts of interest.
Also, important to note that IBKR is one of the only brokers who pass on the "entire" rebate to the customer so they are not directing the order for their benefit. You can designate how you want your option order to be routed (via settings: MaxRebate, PreferRebate, PreferFill, MaxFill). As a fallback you can always direct your order to whatever Exchange you want.
Yeah, I've been wondering about that, but haven't really gotten around to figuring it out. Seems complicated. Would you mind pointing me to the best option for fees / liquidity balance?