Hello, I am interested in executing a trade in multiple assets at once. Obviously what matters is the spread price between the assets and thus quick execution. What are the best ways to execute multiple trades at once (they get executed as close to each other as possible) on IB? Thanks!
If you use the API and write your own software: you could send two or more orders as parent-child(ren) structure. Only when you submit the last child order you activate the trade and all orders will be sent by IB to the exchange at the same time. This removes the time delay between submitting the orders sequentially from your computer to IB's servers.
May I know why you have to send it at the same time? You won't be filled at same time if you are not crossing bid asks.
The way how the question is formulated ("What are the best ways to execute multiple trades at once (they get executed as close to each other as possible) on IB?") indicates that the concern is about time delay between the orders which form part of the intended pair. Which is why I addressed this aspect. I don't think that there is anything you can do about the time delay between IB submitting the order to the exchange and the order being filled.