trade at thinkorswim they will offer $1.5-1.25 per (active traders) and no modification fees... has helped me get much better prices and time it better without constraints over the last few months since I switched from IB.
I have mentioned this 624 times so far and it seems that I cannot be convincing. Check out my trades today. I cancelled 2 option orders today. I also had 6 option orders expired without going through. I paid $11.44 for 40 contracts. In Thinkorswim I had to pay at least 1.25 x 40 = $50. I paid less than $2 for two trades on 10 contracts SPY. I had to pay $12.5 in Thinkorswim. I paid $1.58 for 3 contracts on FB. I had to pay $3.75 in Thinkorswim. Unless I am in the habit of cancelling 369 orders everyday to execute one trade, I won't want to THINK nor SWIM. By the way I have not negotiated a special commission with IB. Everyone gets this rate. As you see I also cancell orders and my YTD cancellation fee is $1.1 !!!
I remember I once run my quoter on STOXX50 on Eurex just to test the new algo. My primary market was closed at that time. I was surprised when the quoter stopped working in the middle of the session. It was because cancellation fees ate my entire account! Shocker! It was a paper account so I did not commit suicide
I think I know what was your algorithem. While(1) Monitor Bid/ask For (Buy) put an order to buy at (bid-0.02) For (Sell) put an order to sell at (ask+0.02) end of while This will be like chasing your tail.
Close, but it wasn't that stupid I was quoting front month options on European index. The quoter was quite aggressive with the orders but it won't survive in this market anyway with such a horrible commission (1.5 per contract, that is more than tick size!).
interesting i didn't know that.. i change alot of my orders... i haven't audited my expenses to that level because my account is small and i don't trade that frequently.. the profit and loss from trades are more relevant to me
For your information, we drastically lowered US Options modifications and cancellation fees, they are now $0.01 per modify or cancel, with a possibility of a credit (towards cancelation or modification cost), see here http://www.interactivebrokers.com/en/index.php?f=otherFees&p=cancel2
thats great! wow i'm happy.. that was getting me hardcore offering and asking for flys at different levels, then pulling them down.. 4 legs lots of cancellation fees