The legs are never split across exchanges unless I explicitly allow that and assume responsibility for partial executions. What I meant is if I enter an order for, say, 10 vertical spreads it gets set to the complex order books of 4 or 5 exchanges for a couple contracts each. I start with a price I know won't get filled and walk it up a penny at a time. Then at some price they all get filled at once. Like @FSU posted, I would expect the exchange with the lowest fees for my counterparty to get filled first, but this isn't what I usually see.
Tested a direct order today straight to the CBOE COB 231 Fly. Filled instantly @ mid. Thanks everyone for your insight!! Going to also keep you guys updated with my next earnings trade as liquidity is usually thin and I am forced to raise/drop my price.
I placed a few butterflys on MSM today for earnings tomorrow. What I did was placed an order on CBOE and a order on SMART. Filled at CBOE, my order was still hanging out at PHLX via the smart route. It's unfortunate many people are not aware of this.
Great to hear. This is another reason you should make sure you are not paying a "ticket charge" along with commissions. It allows you to work small orders on different exchanges to find the best price.
Yeah, PHLX pays for IB routing. There is no other explanation for the number of orders that route to PHLX via SMART. I already PMed, but I use SMART first and cancel/route to CBOE if I believe the order to be marketable but unfilled after say, 20 seconds. I will add that PLHX either won't fill anything or they will inexplicably trade inside your limit order. More so than any other opex.
Thanks for the responses @destriero. IB throws on an additional charge per contract for direct route, but in my opinion it's totally worth it:Especially for the 231 Flys which seem to almost never get filled near mid via SMART.
Again this is an anecdotal way to judge execution quality and price improvement over Nbbo. If you sent a lot of orders using both SMART route and direct to CBOE then run a report on the previous executions. You are misleading yourself if your determining execution quality that way. Take all away the gut feeling and run the numbers in aggregate. Not just a few examples. Transaction cost analysis(tca).
Thanks fain, I have a lot of trades using SMART in past. So after a few weeks of direct routing, I'll post the TCA here.
Interesting thread, thank you @TheBigShort My Strategy Builder only have the possibility of smart routing. How do you choose the route ? If I place an individual option order I have the chance to choose the routing but not if it's a combo order.