Hey all, I near solely trade SPX weekly options. Vertical spreads specifically. I bring all of the live bid/ask pricing into a live excel sheet for analyzations. In order to get an assumed fill price, (to generalize) I am typically adding a bit to the mid of the long strike, subtracting a bit from the mid of the short strike. Interactive Brokers only sends the order to the exchange if they deem it marketable. So these two prices don't always line up. I was hoping maybe someone new a service that provides these inter-spread most likely / marketable fill prices? Thanks!!!!!
More expensive, but consider using a floor broker if you can. You'll save on the fills in many cases.
If you do 500 stock options or 100 SPX then call the IB large order desk in Chicago. Number on IB website.