Way to browse the US Option Complex order book

E

ET180

I understand that when I submit a multi-leg option, my broker will figure out if it can execute it immediately and if not, it will send it to one of the US option exchanges that has a complex order book, such as CBOE:

https://cdn.cboe.com/resources/membership/US-Options-Complex-Book-Process.pdf

Is there a way to see what other orders are resting on each exchange's order books? If I enter a specific complex order, say an iron condor on MSFT, my broker will show me the bid/ask and size for that order. But if I want to browse the sitting orders and see what's close to my order, is there a way to do that?
 
Your option spread order should be sent directly to one of the many Option exchange Complex Order Books (COB). As far as I know, WEX, an institutional platform owned by Wolverine Execution Services, a US based Market Maker, is the only software that not only allows you to see all the COBs but allows you to filter out for what you do not want to see. CBOE SILEXX, owned by the CBOE, is in the process of adding that feature to their next version. It is possible Silexx will only offer a view of the CBOE COB, I'm not sure. We offer both of these but only to Portfolio Margin Accounts.
 
ET180 said:
I understand that when I submit a multi-leg option, my broker will figure out if it can execute it immediately and if not, it will send it to one of the US option exchanges that has a complex order book, such as CBOE:

https://cdn.cboe.com/resources/membership/US-Options-Complex-Book-Process.pdf

Is there a way to see what other orders are resting on each exchange's order books? If I enter a specific complex order, say an iron condor on MSFT, my broker will show me the bid/ask and size for that order. But if I want to browse the sitting orders and see what's close to my order, is there a way to do that?
More...

Just curious...why do you want to see this?
 
ktm said:
Just curious...why do you want to see this?
More...

I submit a lot of 2 and 3 leg option orders. Sometimes the bid/ask on my submitted combo is wide and if I can find part of my order sitting on the book with a much tighter bid/ask spread, I might be willing to take some execution risk in exchange for getting a better fill. Ideally, I would do this with software and not manually. If there is a benefit to doing that, then second idea would be to scan multiple combo order books and look for low risk, close to arbitrage opportunities. Again, probably only makes sense to do this if the approach can be fully automated as there are bots with exotic networking infrastructure for ultra low-latency connections to multiple exchanges. So I expect all the pure arbitrage opportunities are gone, but there might still be some near arbitrage opportunities left to exploit. Either way, I would need to be able to access the data through an API otherwise, probably not worth the effort.
 
Robert Morse said:
Your option spread order should be sent directly to one of the many Option exchange Complex Order Books (COB). As far as I know, WEX, an institutional platform owned by Wolverine Execution Services, a US based Market Maker, is the only software that not only allows you to see all the COBs but allows you to filter out for what you do not want to see. CBOE SILEXX, owned by the CBOE, is in the process of adding that feature to their next version. It is possible Silexx will only offer a view of the CBOE COB, I'm not sure. We offer both of these but only to Portfolio Margin Accounts.
More...

Thanks Robert, is there a way to access that data via an API?

FSU said:
You may also want to look at Live Vol.
Stock Options Analysis & Options Trading Strategy Tools | Cboe LiveVol

I was told they offer access to the COB, but I don't know firsthand.
More...

The platform might, but I don't see a way to access the COB order info through their API. Looks like it's only meant to pull historical and live option quotes, open interest, greeks, volume, and other info.
 
Robert Morse said:
Your option spread order should be sent directly to one of the many Option exchange Complex Order Books (COB). As far as I know, WEX, an institutional platform owned by Wolverine Execution Services, a US based Market Maker, is the only software that not only allows you to see all the COBs but allows you to filter out for what you do not want to see. CBOE SILEXX, owned by the CBOE, is in the process of adding that feature to their next version. It is possible Silexx will only offer a view of the CBOE COB, I'm not sure. We offer both of these but only to Portfolio Margin Accounts.
More...

Do you know if the COB is centralised? What decides which exchange it is sent to?
 
You must log in or register to reply here.
Back
Top