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TraDaToR
Registered: Dec 2006
Posts: 3824 |
05-23-12 06:17 PM
Hello,
I am using TWS 922.6 in sim mode and I can't trade calendar spreads. I am trying to buy at best ask or sell at best bid using booktrader, spread trader and quotes and I never get a fill. The buy order just stays there as if it was non marketable. The quotes are fine, I checked with my other platform.
Sometimes I get a fill at ask + 5 ticks or bid - 4 ticks...
Is it a sim only bug? How can I work on it?
Thanks.
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Soon2Bgreat
Registered: Apr 2006
Posts: 502 |
05-23-12 06:30 PM
Quote from TraDaToR:
Hello,
I am using TWS 922.6 in sim mode and I can't trade calendar spreads. I am trying to buy at best ask or sell at best bid using booktrader, spread trader and quotes and I never get a fill. The buy order just stays there as if it was non marketable. The quotes are fine, I checked with my other platform.
Sometimes I get a fill at ask + 5 ticks or bid - 4 ticks...
Is it a sim only bug? How can I work on it?
Thanks.
How liquid is the spread and were there any actually traded at the price you're trying to get?
I'm not 100% sure, but I think they'll only fill your sim trade if there's an actual print in the calendar at your price. I had similar issues and just gave up trying to use the sim for these trades. IIRC I had difficulty using the exchange spreads and IB's smart combo orders.
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TraDaToR
Registered: Dec 2006
Posts: 3824 |
05-23-12 06:37 PM
I just tried again with Corn front-second month calendar spread( liquid ). Same problem. You are perhaps right, it has to do with the quotes. IB has no native spread quotes. Their charts only show historical bid/ask.
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comintel
Registered: Jun 2008
Posts: 1119 |
05-24-12 05:52 AM
I do not know about the specific ones you mention, but for a number of spreads, you can actually submit them on IB for native exchange execution.
Often you have to specify the exchange routing rather than use Smart Routing.
I would suggest opening a help ticket to find out.
I closed my IB account so I cannot check any more. I think they should have them really.
Quotes are not always essential since one can subtract the last trade values or midpoints on each side and give away a tick or two on a limit order, if they at least do offer native execution of the spread.
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TraDaToR
Registered: Dec 2006
Posts: 3824 |
05-24-12 07:38 AM
Hello Comintel,
My problem is only on sim.I have no problem live trading, my native orders are received and executed. It is the first time I use sim for calendar spreads.
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