Autospreader for IB?

Discussion in 'Order Execution' started by andiamo, Oct 12, 2004.

  1. andiamo

    andiamo

    I am looking into pairs (spread) trading and I'm considering the use of IB for order execution. Does anyone know of an available autospreader for IB? I am looking for something similar in functionality to what TT offers with XTrader.

    Thanks for the help!
     
  2. IB Communiqué - October 7, 2004


    IB Introduces Inter-market Smart Routing for Spread Orders

    IB is pleased to introduce a first for the brokerage industry, Inter-market Smart Routing for Spread Orders – US option/option, option/stock and stock/stock spreads on the same or multiple underlyings. This technology is so sound that we will undertake the risk of any partially executed spread order by placing it into our error account.

    When your spread order is transmitted, IB SmartRoutingSM will compare native spread prices when available (i.e. ISE) with implied spread prices from all available option and stock exchanges and route each leg independently to the best priced location(s). If your order is marketable, IB will route the spread order or each leg of the spread independently to the best possible venue(s). Non-marketable spread orders native to the ISE on a single underlying will be temporarily routed to the ISE book, while non-marketable orders that are not native to the ISE will remain at IB. From that moment on, IB SmartRouting will continuously evaluate changing market conditions and will dynamically route and re-route based on this evaluation to achieve optimal execution.

    Spread orders are created in one of two ways, through a single underlying or a multiple underlying input screen. To use the single underlying input screen, create a market data line and choose the asset type Comb. You will only be able to enter an order on a single underlying, and will be presented with a number of pre-defined spread orders types (i.e. spreads, butterflies, etc.). The multiple underlying input screen is initiated by right-clicking on any blank market data line, selecting Generic Combinations, and then dragging any market data line for multiple underlyings and asset types into the combination window. You may then set the ratio of the legs. In order for a NYSE leg to be included, it must be displaying at least 200 shares. IB Inter-market Smart Routing for Spread Orders is utilized for both input methods.

    IB Inter-market Smart Routing for Spread Orders is yet another component of IB’s suite of dynamic smart routing solutions that helps professional traders get best price execution around the globe.
     
  3. def

    def Interactive Brokers

    similar functionality that we are doing with the options should be available shortly in the futures.
     
  4. J-Trade

    J-Trade

    def - do you mean futures options & if so, any idea how soon 'shortly' might be, please ? I want to write futures options spreads.

    J.
     
  5. ktm

    ktm

    Me too. Big time. I am so tired of legging these things. You have to be Wyatt Earp on the keyboard and knock off small pieces all day long. That would allow us to give the MMs what they say they have always wanted - spread orders instead of legs.

    The YMs are going to overtake the DJs because the pit brokers all want $15 round trip, whereas 2 YMs would run you about half that with IB. I saw a 1000+ contract spread go off last week in the YMs. It's good to know they can handle that kind of order size...and it will be good to be able to submit those as spreads through IB.
     
  6. I wish IB let you put on intercommodity spreads. It would be nice to be able to spread in and out of the ER and ES with a push of a button. Right now, it seems that you can only do intracommodity calendar spreads on a single quote line.

    Anybody know of a front end to IB that will let you do a intercommodity spread?
     
  7. IBsoft

    IBsoft Interactive Brokers

    Could you pls explain exactly what kind of activity you are looking to do? i.e. is it options or futures, is it non-marketable or marketable orders?

    (you could PM me if you would prefer)
     
  8. ktm

    ktm

    Here are 2 examples:

    Fictional prices but you get the idea.

    ES 1090 Put, Bid 10 Ask 11
    ES 1150 Call, Bid 10 Ask 11

    I want to sell both. Selling at the bid would mean a credit of $20. I would like to offer fair value for the spread, or $21. I would like to put this order out as a limit order for a total credit of $21, or 21.25 or 20.75, etc...

    YM 10200 Call Bid 50 Ask 58
    YM 10300 Call Bid 24 Ask 32

    Buying the 10200 and selling the 10300 would result in a debit of 34 (58 - 24). As in example #1, I would like to enter this to split the bid/ask. These two contracts for a total debit of say, 26. If I leg, I can usually get part of each spread, especially in the YM, but there is huge market risk if I get filled on one side and we move hard.

    Does this make sense? Is this something you guys could do any time soon?
     
  9. J-Trade

    J-Trade

    ditto ktm's post above
     
  10. IBsoft

    IBsoft Interactive Brokers

    Thanks very much for the reply. We'll give it some thought.
     
    #10     Oct 14, 2004