Automated Options Trading

Discussion in 'Automated Trading' started by bmferguson, Apr 1, 2008.

  1. What are some of the platforms that you've used for automated options trading? Has anyone used Orc as part of their platform?

    1. It is a violation of U.S. option exchange rules for a customer, acting alone or in concert with others, to send an order to an option exchange in order unlawfully to manipulate the execution price of a separate order on that exchange or on another exchange.

    2. It is a violation of U.S. option exchange rules for a customer effectively to act as a market maker by holding itself out as willing to buy and sell securities on a regular or continuous basis. In determining whether a customer effectively is operating as a market maker, the exchanges will consider, among other things, the simultaneous or near-simultaneous entry of limit orders to buy and sell the same security; the multiple acquisition and liquidation of positions in the security during the same day; and the entry of multiple limit orders at different prices in the same security.

    3. It is a violation of U.S. option exchange rules to transmit orders that have been created and communicated electronically without any manual intervention. Customers using IB’s Trader Workstation therefore are required to click a mouse, hit a key, or do some other manual action to transmit option orders. Customers with a Computer-to-Computer Interface or who use the IB Application Programming Interface (API) represent that they will not allow orders to be created and transmitted automatically without manual intervention.

    4. Except for the International Securities Exchange (ISE), U.S. option exchanges have rules preventing customers from transmitting multiple orders to an option exchange on the same side of the market in the same option class within any 15-second period, either in one account or multiple accounts in which a customer has a beneficial interest. The IB system is therefore programmed to reject or delay transmission of orders on the same side of the market in the same option class that are sent by a customer to IB within any 15-second period. Customers acknowledge this and represent that they will not use multiple option trading accounts with related ownership to avoid this restriction.
  3. Thanks Wayne, good info to know.

    The rules must be different in Canada, because I've been told by a vendor about a bank up here that's apparently got an automated platform for the Bourse de Montreal. I had assumed that automation in options was a no-brainer, since the bank up here apparently has a platform, automation in other derivatives has been around for a LONG time, and the U.S. is generally way ahead of Canada in terms of trading.
  4. Seems like a shitty rule to me.

    Just another way for "them" to stack the deck against the poor retail guy...

    Yeah, hopefully Canada is more open to automation.

    Good trading. :cool:
  5. rosy2


    my firm uses orc. it works for me
  6. Would there be any way for IB's interface to know if you used something like Expect to script up interfacing with their GUI? Would be a lot more trouble than using the API, but is doable.
  7. AFAIK IB doesn't worry about how you use your API connection. You could use macro scheduler programs and windows controllers like AutoIt, but I think it would be more trouble that it's worth.

    Option orders just need a small delay between them to avoid "pacing violations", and to have the popup closed.
  8. GTG


    Doesn't IB charge a fee for cancellations and modifications to options orders? I think that would be a problem for any automated system.
  9. Depends on the system. Mine are mostly limit order based and EOD. Whatever cancellations I do are more than made up by the credits received commission.

    IB does charge cancellation fees, depending on the exchange, but that is because they are charged. But I can see that if your system requires many changes/cancellations, you probably shouldn't use IB.

  10. snowbash


    Anyone know the price for Orc's Algo trading software?
    #10     Apr 19, 2008