TWS Time & Sales for combo trades?

F

ffs1001

Hi, on TWS, does anyone know if it's possible to see combo trades, rather than just the individual legs? For example, lets say I want to see if anyone has bought a credit call spread on NFLX at the strikes 430-440. I can see the T&S for the individual calls at the 430 strike and those at the 440 strikes. The only way to guess if the two trades are related and were part of the call spread is to see if the exact times and the number of lots trades match. (Even then there's a chance - a tiny one - that the two trades just happened to take place at the same time and at the same lot-size.)

Is there an easier way, either in TWS or some other platform, to see complex trades like these?
 
Late last year OPRA (options price reporting authority) added new tags to options time and sales. There are now tags that tell exactly what type of trade took place. There are about 20 different tags now. Here is the list of all of them, see page 20
https://assets.website-files.com/5b...c6b7305b_OPRA Binary Part Spec 3.4_091719.pdf

Not all brokers include this information in their time and sales fields. Not sure if TWS shows or not. If they don't you should request.

With this information you can tell a great deal about every trade.
 
ffs1001 said:
Hi, on TWS, does anyone know if it's possible to see combo trades, rather than just the individual legs?
More...
No, strangely enough you can see the price of the last combo trade, but in T&S nothing is shown (other than maybe this last price)
 
You are right, qwerty. That's on the main portfolio screen. Attached is the specification for the API method that handles T&S, at least what they care to expose to us. Maybe a kind soul, who is already setup, can pass a contract combo thru this method and show us results.

upload_2020-6-21_16-59-28.png


I'm still very curious about those OPRA tags, though.
 
xandman said:
I'm still very curious about those OPRA tags, though.
More...

These tags have been extremely helpful to me. I have a program that looks for certain types of spreads and with these tags I can filter out many trades. MLET would be the most common (Multi Leg Electronic Trade) for a spread, but now you can tell if it is a floor trade, traded against stock, auction trade, crossed, etc, etc, etc.
 
FSU said:
These tags have been extremely helpful to me. I have a program that looks for certain types of spreads and with these tags I can filter out many trades. MLET would be the most common (Multi Leg Electronic Trade) for a spread, but now you can tell if it is a floor trade, traded against stock, auction trade, crossed, etc, etc, etc.
More...

May I ask, thru what data provider?
 
IB/TWS at minimum shows the spread book with the volume of combos traded during the day:

upload_2020-6-19_13-20-55-png.230997



Though now my question would be: how would someone hide those complex orders from others? Splitting leg orders to fill individually/separately?
 
Last edited:
You must log in or register to reply here.
Back
Top