How did this happen ? Partial fill when it should have printed all

Discussion in 'Options' started by NewTraderAdventure, Mar 13, 2019.

  1. Won't mention the broker but they are large and competent

    There was a bid for a 10 lot of options.

    I hit that bid.

    I only got a fill for 4 of the 10, and the other 6 printed 4 full seconds after my fill (on the tape) on the SAME EXCHANGE!

    Seems very funky. If I was first to get the 4, then it should be impossible for someone else to get the other 6 so much later in time. So we know it wasn't cancelled.


    PS I did call and question it, and got the usual , 'nothing to see here' you always get
     
  2. Unless there is a material omission of facts "they owe you a fill"
    Large and competent broker "they owe you a fill"
    Multiply listed option "they owe you a fill"
    I did call - the help desk of the brokerage firm or the exchange "they owe you a fill"

    When might they not owe you a fill - if the 6 were filled first and reported out of sequence - very unlikely and would print as such
    Fast market - there weren't many today
    A large and competent broker - your characterization
    I can come up with more excuses, but "they owe you a fill"

    Did you eventually get a fill on the other 6? How far away was it from the first 4?

    Anything with a "flashing" quotes issue - SPY, APPLE or something with a corporate action going on.
     
    murray t turtle likes this.
  3. Robert Morse

    Robert Morse Sponsor

    NewTraderAdventure,

    As an x-Market Maker, it does sound odd and makes me wonder how the order was handled. I do disagree with ajacobson that your broker "owes you a fill". They owe you an explanation. Option orders are typically sent to a Designated Market Maker (DMM) at an exchange. With 15 option exchanges and bid/offers changing in microseconds, best execution is more complicated than it looks. Your order might have been sent to an option dark pool first-hard to tell. Best execution does not guarantee a fill, it "obligates a broker-dealer to exercise reasonable care to execute a customer's order in a way to obtain the most advantageous terms for the customer."
     
    dealmaker and murray t turtle like this.
  4. IAS_LLC

    IAS_LLC

    I'm not too smart on option market micro-structure, but I could see this happening if the bid was split across multiple exchanges or multiple sellers. For example, you got 4 lots from Exchange A, than someone fast moved their order off Exchange B after your initial fill hit the tape. Eventually, someone stepped back in at your price, and you got filled.

    Did the two fills happen on different exchanges?

    Thats the nice thing about the new CME datafeed... you can reverse engineer EXACTLY what happened. Not sure if that is possilbe/economical in the Equities/Options.

    Please keep us posted on what you find.
     
    murray t turtle likes this.
  5. smallfil

    smallfil

    My guess is the market maker took your options contracts. A lot of times when I have the lowest bid, lots of contracts suddenly appear and get in front of the line. Those are market makers lining up first to fill orders for their accounts. There is something wrong there but, not much we can do anything about. Now, if I want to get out, I just match the bid amount or put my asked order way out of the lowest bid. If the market maker lowers his asked price to match my order, it will easily cost him thousands of dollars. So, let him!
     
    murray t turtle likes this.
  6. %% Good points; + wonder what the price was for the 4 + 6. Even if they were somewhat liquid, like SPY/QQQ .....Easy to differ in a good trending market, early + late moves.

    IBKR got out of option market making business;
    maybe too much risk for them, in buying/selling ice cubes in summer so to speak??:cool::cool: