Why does individual leg trade through complex order book with no fill?

[TheBigShort]

I make a decent living "arbing" away,putting on Verts,Flys and the occasional calendar for credits..

2 years ago I traded over 1 million contracts,and I would guesstimate current business is off by 80 percent or more with much thinner margins..

Sucks...

Did you any in house code or execution software outside of your broker when executing orders? If yes, could you elaborate.

 

[taowave]

No in house code,no execution software..I placed apx 400 trades per day..There was a ton of cancel and replaces

The edge has vaporised..

Did you any in house code or execution software outside of your broker when executing orders? If yes, could you elaborate.

 

[TheBigShort]

No in house code,no execution software..I placed apx 400 trades per day..There was a ton of cancel and replaces

The edge has vaporised..

Do you recall if the orders were placed during wide spreads or if the market would briefly trade down to your price on a tight market?

 

[taowave]

I leave my order in for nanoseconds at most..

I'm always leaning against a bid/offer,so I know the fill price I am shooting for on the other side..Some times the spreads are ridiculously wide, other times relatively wide..

Do you recall if the orders were placed during wide spreads or if the market would briefly trade down to your price on a tight market?

 

[tradegoodstocks]

...
1) I don't know what IB's charting is showing you in the charts (trades vs quotes?) but you can get the snapshot quotes pretty efficiently in a spreadsheet via RTD (combined with a small about of ActiveX VBA to get the SecID's for spread quotes). If the spread is quoted in the COB, and you specify the exchange (eg CBOE for SPX, ISE for SPY) they'll show you that price, otherwise the aggregated legs price. I am not sure if this holds 100%, but it holds generally. You do have to specify the exchange for this to work consistently, SMART won't do it.

Are you saying that you can get complex order book quotes via IB RTD API? Last time I asked them I was told there is no way to get complex order book data. Can you please explain, would I query the quotes for the combination order; and what role does the "SecID" play? Thanks.

 

[Kevin Schmit]

Are you saying that you can get complex order book quotes via IB RTD API?

Yes, if the spread you are seeking quotes for is currently quoted (bid, ask, or both) in the COB you are referencing, otherwise you'll get the added up legs price. You have to specify the spread correctly.

Last time I asked them I was told there is no way to get complex order book data.

They are lying. You can't see the COB's directly*, individually or in aggregate, but you can see the COB bid, ask, and size (if quoted) in the particular COB you specify (e.g. exchange=CBOE for SPX spreads).

would I query the quotes for the combination order; and what role does the "SecID" play? Thanks.

Yes. SecID was a mistake, I meant ConID. You need the ConID to ask for the spread quote. You can get the ConID programmatically in your spreadsheet using the ActiveX api which coexists fine with rtd. You need another key=value pair in your rtd request. Here is the syntax:

"cmb=<conid1>#<ratio1>#<action1>#<exchange1>;<conid2>#<ratio2>#<action2>#<exchange2>;..."

You need to specify the same exchange for all legs, SMART won't do it. And you need the conids for the exact local symbols (loc=...,...,...) for example: "SPXW 240731C05660000" is the local symbol for an SPXW Call expiring the 31st. You absolutely need the W and there are two spaces between SPXW and the date (three spaces for a SPY option). You also need to use "complex syntax," "simple syntax" doesn't work for spreads.

* actually you can, through Silexx, which IB supports. Unfortunately, last I checked, you can only see the CBOE COB through Silexx. IB does not support WEX which allows you to see all the COB's (I think Lightspeed offers WEX... Flextrade also allows you to see the COB's)

I have attached IB's ActiveX sample spreadsheet for getting ConID's programmatically in a spreadsheet.

 

[tradegoodstocks]

Yes, if the spread you are seeking quotes for is currently quoted (bid, ask, or both) in the COB you are referencing, otherwise you'll get the added up legs price. You have to specify the spread correctly.


They are lying. You can't see the COB's directly*, individually or in aggregate, but you can see the COB bid, ask, and size (if quoted) in the particular COB you specify (e.g. exchange=CBOE for SPX spreads).


Yes. SecID was a mistake, I meant ConID. You need the ConID to ask for the spread quote. You can get the ConID programmatically in your spreadsheet using the ActiveX api which coexists fine with rtd. You need another key=value pair in your rtd request. Here is the syntax:

"cmb=<conid1>#<ratio1>#<action1>#<exchange1>;<conid2>#<ratio2>#<action2>#<exchange2>;..."

You need to specify the same exchange for all legs, SMART won't do it. And you need the conids for the exact local symbols (loc=...,...,...) for example: "SPXW 240731C05660000" is the local symbol for an SPXW Call expiring the 31st. You absolutely need the W and there are two spaces between SPXW and the date (three spaces for a SPY option). You also need to use "complex syntax," "simple syntax" doesn't work for spreads.

* actually you can, through Silexx, which IB supports. Unfortunately, last I checked, you can only see the CBOE COB through Silexx. IB does not support WEX which allows you to see all the COB's (I think Lightspeed offers WEX... Flextrade also allows you to see the COB's)

I have attached IB's ActiveX sample spreadsheet for getting ConID's programmatically in a spreadsheet.

Thank you! Looks like most products that offer to see the complex order books are not available to retail traders. How exactly would Silex data be visible for IB customers - in TWS, or via the IB API? What IB data subscription category exactly would it need?