@DaveV Interesting, thanks for sharing. Can I ask where your box is located? If you're in the NY/NJ area, I suppose IB ticks arriving first...
Ah, gotcha. I read too quickly and took the "short sp deltas" to mean effectively short via long vol instead of an actual spx position. I would...
No worries if you'd rather not elaborate, but is this essentially finding cal/fly spreads on the VX futures that are out of line historically...
If you don't mind me asking, what are you getting back billed for?
I've never jumped into a nascent market like this before. I would imagine historical data sets with sufficient depth aren't available yet to run...
Just to add some color to dunleggin's skew comment, the Jan 15/20 1x2 can be put on for ~.25 right now. That's 68 DTE
As in sell the weekly 100/105 call spread and buy the monthly 100/105 call spread?
Gotcha, thanks. I've seen the opposite argued a few places (here's one...
Is the daily roll based on number of contracts or dollar value? Put another way, are X # of front month contracts sold and then X contracts of...
Not just the CBOE - anything direct routed.
Are you with IB? If so, are you better off after paying the increased comms when direct routing to CBOE over using SMART combo?
I'm fairly certain this does not make you a professional customer as referenced by Bob (he can elaborate if he'd like, but there's a 390 options...
@sle Out of curiosity, what kind of rough ballpark are you talking about in terms of capacity on that one?
@d08 Are you saying that if you request historical data on a stock with contract.m_exchange = "SMART" and contract.m_primaryExch = 'primary...
+1 The simplest and most flexible format is surprisingly hard to find
Any tips on how to automate getting the cookie and crumb? I'm working in java to download csv files but this level of scraping is beyond my...
Thanks - let us know how it goes
Bob- does this withdrawal mean anything for your previously audited platforms? (Sorry, I know I'm being lazy, but would appreciate it if someone...
Appreciate the feedback. Is it really more expensive though? IB comms are .0035 at the lowest tier, plus a take fee of 0.00275 (NYSE), plus reg...
Bob- can one use a non-Livevol platform for execution with LS as introducing broker and clear through IB? e.g. Realtick through Lightspeed while...
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