Optimal Options pricing w/ IB Twsdde

Discussion in 'Automated Trading' started by savagemp5, Nov 14, 2012.

  1. Hi,

    Just wonder any pros have done such stuff b4, especially with IB twsdde Excel VBA.

    Previously for most of my equities/futures, I've implemented some successful equities and futures trading on my Excel VBA. They are on very liquid products, so in my systems im purely using last done quotes, as it almost reflects the exact current price.

    Even though, i do have some problems when I used tickers such as GS or LNKD where the b/a are sometimes a mile away. (still thinking whether i want to bring in bid/ask + last done for my systems which means I'll hv to check Ask for buying, Bid for selling.)

    So #1:
    But as for options, theres a chance where bid/ask can move significant lower away from last done if no trade done, and its quite troublesome. My solution is to bring in Bid/Ask to replace Last done for my systems. Is that how u guys do it ?

    So #2:
    Then there's another problem to determine the appropriate Options strike to trade. I am still hesitating on this algo, where I have to:
    - check the current equity price
    - get a round off to higher and lower or even $0.5
    - refer back to the call/put options strike prices and determine to match the higher or lower strike
    - grab the bid/ask, then calculate the max contracts based on a risk amount eg. $2000.
    - And then now, add this particular ticker, contract details, strike price into Twsdde sheets with tickers (request market data) and basic orders dynamically, before I am able to trade it (else I have to prepare beforehand)

    At least this is what I do manually if I were to trade any options. Any better ways out there going, even if its on Java or C with IB tws API etc ?
  2. 2rosy


    last trade is more for orderflow IMO. not sure what else you're asking
  3. im saying last done price, not last trade..
  4. 2rosy


    whats the difference between last done price and last trade :confused:
  5. im asking the difference in using last done and the current bid/ask. I think u shld be a manual human trader and stop looking at words and programs.
  6. 2rosy


    dont use last done. current bid/ask is what you need
  7. hi 2rosy, thanks for ur input. Because taking in 1 data is easier than taking in 2 data and then comparing them, hence didnt wanna program in b/a.

    What about the options pricing. Any solutions with that to make it easier on automation ?
  8. 2rosy


    I dont know about excel but I use IB and get bid and offer and set them in a Quote object . That object also has a mid method which is just (bid+ask)/2. I also use Quantlib library which has several option pricers.

    I think you can do this all in excel; theres also a quantlib excel plugin
  9. i do have the same sentiment, lazy method of using (b + a) /2. But options wise i might need to do another algo just to filter those b/d spreads that are too wide like a/(a-b) must be < x%.

    Well thx ill play around with those values