This is a very basic question but your advice is appreciated. I usually trade options exclusively with Limit/Icebergs set on MaxRebate. But I am finding it harder getting filled and would like to know which the best algo is to split an order and distribute it across all exchanges? Thanks
Hi tonyf - IMO, you are finding it hard to get fills because you are hiding your orders and looking for rebates and you are not a Market Maker getting directed order flow. With 16 option exchange, market or marketable customer orders are being sent to where the DMM can control their cost or the sending broker can do the same. They are not going to send that order to an option exchange with the highest cost while there is an alternative. If you not hidden and the best bid or offer, you would at least have an opportunity to get filled before the stock moves enough to make your limit opportunistic for market makers.
I actually have a very positive experience with IB chat, always there within a few minutes, and always trying to help, perhaps less experienced, but with even the harder api / tech questions they always transfer you to experienced developers that sort out your questions in the end. Could they not answer your question ?
You are asking a question on something subjective like a"Best method" for a self-directed brokerage account. Not surprised customer support isn't telling the clients which algo to use.
AFAIK, there is no way to slice orders to different exchanges using TWS. You would think they would allow users to create custom order allocations as a preset, but alas, they are too busy making changes people never asked for.
Are you aware of below? https://www.interactivebrokers.com/en/index.php?f=1223 https://www.interactivebrokers.com/en/index.php?f=1120
tony: Robert nails it. Read his post. The market structure is designed to screw the retail customer. Maker/taker fees and other rules are designed to take away customer priority as it really exists in "name only". But as an IB customer I will tell you what I generally do: (Professional customers should do something different) for example - lets say an option has a NBBO of $8 bid $9 ask 1) If a fill was urgent - I would enter a limit price of say $8.80 with MaxRebate. You are most likely going to get filled no matter where your order is sent so you may as well get the max rebate. You can test the waters by bidding lower prices (step up) and then immediately cancelling if you are not filled 2) If a fill was urgent and no limit order (less than $9) will get a fill. This often happens when you are cumulating a large position (ie the hft's turn their machines off) then you may want to bid $9 with MaxFill. This will allow you to likely get some price improvement. Believe it or not in some cases you may actually get a fill that shocks you. ie you bid $8.90 and you can't get filled then you bid $9 with MaxFill and you get a fill that is less than $8.90. You can also use MaxFill if the option has a tight spread (min tick). ie (.50 bid .55 ask - you may get price improvement on a buy order (.54)) 3) If you are not in a hurry and price is everything. I would use PreferFill and pay attention to where your order is placed. Track to see if there are fills taking place at other Exchanges. You then can direct your order to these Exchanges (at a higher commission) but at least you can do this. You may not get a fill regardless as many "opposite orders" can be directed by the HFT's to an Exchange where you are not on the bid. It really depends on what you are doing and what Underlying you are trading. You clearly have had some issues - so try something different. But - keep in mind that there may be nothing you can do. good luck
And I don't think there is an algo that sends a 16 lot customer order (one contract to each exchange). Doing this yourself can be very costly with respect to your order count and leave the possibility of getting over filled. Sending many orders like this on your own will increase your chances of becoming a designated Professional Customer. fyi: IB does split up orders in the Complex Order Market
you could use the api to send multiple orders to specific exchanges if you wanted. I am looking for something easier.