Only 3000 or 4000 underlying even have options. Within that maybe 1600 trade actively. I also read that the top 900 stocks account for 95% of all option trades. So it sounds like sticking to those 900 when possible may improve the problems I've raised. It could also be that when I post my bid I get sent to one of the 6 options exchanges, but that TWS then shows me activity taking place at other exchanges. The tickers above are among the 1600, but apparently many are not among the 900.
I'd guess it's closer to the top 200 accounting for 95% of the volume. The QQQQ's and GOOG do a lot of the damage. You can still trade the stocks you want to trade, just adjust your expectations accordingly. I'm not sure how TWS routes options orders, but from the lack of complaints I've heard their SMART routing should be getting you the best price 99.99% of the time. I doubt you're sitting at one exchange while folks get filled at another, unless you're routing your order yourself. I believe a lot of the difficulty you're having getting filled is a leg from a spread order jumping in front of you, but I'm guessing. No need to abandon your plan, just tweak your expectations. By the way I finally got filled on that diagonal, after 2-3 hours.
I'd guess it's closer to the top 200 accounting for 95% of the volume. The QQQQ's and GOOG do a lot of the damage. You can still trade the stocks you want to trade, just adjust your expectations accordingly. I'm not sure how TWS routes options orders, but from the lack of complaints I've heard their SMART routing should be getting you the best price 99.99% of the time. I doubt you're sitting at one exchange while folks get filled at another, unless you're routing your order yourself. I believe a lot of the difficulty you're having getting filled is a leg from a spread order jumping in front of you, but I'm guessing. No need to abandon your plan, just tweak your expectations. By the way I finally got filled on that diagonal, after a couple of hours.
Using SMART routing. I'd like to use Box and price improvement, but IB charges extra when you direct route, and it seems this would cancel out any savings from the 50% chance of a penny (buck) or two price improvment.
Well, there's your problem. All of your orders are being routed to whichever exchange pays IB the highest kickbacks. Probably PHLX or PSE. Most of the fills going off at your price (but not hitting your bid) are ISE and CBOE orders.
It does seem like an inordinate number of the stale unfilled orders are PHLX. (I am assuming I can use the numbers flashing by on TWS (are they called level II quotes?) to see others getting filled at the price I staked out). I mean it the volume numbers at my bid spin up and down while my limit order just sits there, so that must mean that I'm at some backwater exchange but helping others to get action at the other exchanges? So, SMART means: SMART for IB, not for me? Do all 6 options exchanges give kickbacks (maybe they have a nicer word they use)? And SMART picks the one that kicks the most back to IB? And its mostly PHLX, but its CBOE on rare occasions?
Obviously I'm not familiar with IB's "SMART" routing. If they're constantly routing you to PHLX or PSE then it's a problem. At least they didn't send you to the AMEX.
Is the SMART routing behavior described above also an issue with straight equities? I guess to the extent a given stock is more liquid and has less bid-ask spread, the problem might be not be as noticable.
Definitely noticing IB routing a lot of my options trades to PHLX. WTF is the problem with PHLX? They're trying to get more transactions, so they pay larger fees than other exchanges, and IB charges low fees, but they make it up on the kickback from the exchange... But then the execution suffers because... PHLX is smaller and has less volume, which is why they fattened up their kickbacks in the first place? I guess I can pay $1 more a contract (that's MY kickback) to route to... CBOE... they have better executions? I mean often shelling out an extra buck a contract may be well worth it compared to going unfilled, under some situations.