I seem to be having an issue with the way my credit spreads are filling. Perhaps I am misunderstanding how it works. I am buying 0DTE SPX credit spreads, often around -$0.50. I may choose to sell some of my position at -$0.20 or -$0.10, using a LIMIT order. I often enter that order very soon after my buy order has filled. It will simply sit there for a few hours before it fills, presuming I do not need to defend my position. The problem is that when the sell order fills, it does not actually fill at the LIMIT price I entered for the spread. Specifically, I entered a LIMIT sell order at -$0.10, but it actually filled at -$0.20. This is bad for my P&L. I wonder if it is trading like a LMT + MKT, sell the first leg at a limit price, but then the 2nd leg at a market price. However, there is a specific trade type described as such. What am I doing wrong? Example shown below:
How much did you get from your buy order in dollar amounts? That's what matters. Does it correspond to the $-0.10 price? If yes, you got the right fill. It doesn't matter how much did you get from each leg. Because it's traded as a combo, it's the final price that counts. How much is allocated to each leg doesn't really count and IB doesn't always report accurate figures that's allocated to each leg.
Yes, absolutely it matters only that the difference between contract prices matches my limit price, not what each leg price is. If you can see the closing order example I have shown, the SPX MAR24'21 3890 was bought for 0.55, while the SPX MAR24'21 3885 PUT was sold for 0.35. That's a 0.20 difference, not the 0.10 difference that I set my limit at.
I think the problem is how you are entering the order. In your example above, you bought the put spread, you didn't sell it. You bought the 3890 put for .55 and sold the 3885 put for .35, so you paid .20 for it, you didn't sell it.
Ok but did the $$ amount actually match the price? The price is $-0.10, for 1K of quantity, you should've spent $100 to buy this actually debit spread and not credit spread. Were you really out $100? That's the key.
Your sell order actually filled at -$0.10, not at -$0.20. -$0.20 is what you would pay if you submitted it as two separate legs, one at bid and the other at ask price. Combos give you better price then separate single legs.
When one buys a credit spread, they are entering a position for a CREDIT, not a debit. So, I was paid $0.50 to enter this position. To close the position, one sells the credit spread for a debit. Yes, closing a credit spread is the same as opening a debit spread. Regardless, I entered a LMT order of -$0.10, but the difference between the contract prices was -$0.20.
Yes, my order was filled at -$0.20, not -$0.10. The breakdown of the combo is accurate. MY P&L confirmed that my order filled at -$0.20. Closing a credit spread is the same as opening a debit spread.
For the record, I reached out to IBKR support (before posting this thread). At first, they too were stating that the order filled at -$0.10, but I insisted they dig deeper and they realized that was not the case. They went through the audit trail, and confirmed that it filled at -$0.20. They could not explain why this happened. They said they would escalate the ticket, but I have not heard back from them. Now that I am looking at these trades more closely, I am finding that the orders are often not closing for the limit price. I am open to the idea that I am placing the order incorrectly, but if so, I have no idea of what the correct way is.