I trade index options, currently one at a time, but will be increasing my trading size soon. I'm curious about whether there are any advantages to breaking up a larger trade into smaller parts, as pertains to fills at better prices. For example, will I get a better price if I submit an order for 2 individual SPX butterflies, or submit the order for 2 of them at once? How about if I submit an order for 5 butterflies at once as opposed to each of them submitted individually until I get all 5 of them filled?
The only reason to break up the order is to have it sent to the COB ( the electronic complex order book). Each broker will have different rules on the how they handle spreads in the SPX. Some will automatically send all SPX spreads under a certain size to the COB and over that size they will be sent to a floor broker in the pit. As a general rule I have found faster better fills when a spread is sent to the COB in the SPX.