Professional market maker (options) software?

You’re so right … Great insight nitro. I am trying to figure out how to automate a “model” which gives pair trading opportunities intraday. I’d like to automatically cancel and replace quotes dynamically as the market changes dynamically.

 

Ok good spreadem.

So then the only way I can answer the question is, who is your broker? Or do you have direct connection to the exchanges that you need?

If you call ORC they will ask you the same questions. Now that you have thought this through, you are better prepared to call them.

 

I trade futures thru Velocity and equity options with thinkorswim.

I will entertain a broker that will give me direct access to ecns as well as futures to employ these strategies.

 

You sound extremely flexible. I strongly recommend that you contact ORC because you are very likely to be able to do what you want to do with your good attitude and open mind.

 

Hi, nitro,

Doesn't IB provide you direct access to exchanges? Why do you need to get a seat for CBOE or other exchanges?

I'm interested in your mass quoter, is this something one can build with IB's API? Any background info for writing this kind of software? Are you able to quote multiple stikes of multiple symbols without much latency?

Thanks!

 

you are not allowed to quote as a retailer on American exchanges and furthermore have to pay cancellation costs which will heavily eat into your profits there will be none left.

 

My info may be out of date, but I seem to recall that at least as recently as few months ago, neither NASDAQ nor ARCA charged cancel fees on US equity options orders, and NASDAQ Options took it even further by explicitly stating that any trader can make a two-sided market on their exchange on any such options trading there.

Of course, the spreads on such options series seem to be much tighter, so caveat venditor

 

Quoting into the PHLX options engine (which was bought out by NASDAQ) costs about $4K/M (it is complicated, you can quote certain things and probably get it down to $2k/M but this allows you to quote equity options everything.) That is considerably less expensive than the CBOE, and lots of people do it for that reason. Generally the CBOE is by far the most expensive options exchange to do business in. But that wouldn't last long if it weren't an advantage to both sides, the MM and the client. CBOE is starting "C2" that will look very much like the other options exchanges, and will likely have different economics than the CBOE of now.

I forget what the costs if any to quote into the new NYSE/ARCA options exchange. I will find out.

 

Nitro,

Sounds like you have been looking at this space in detail. Writing a mass quoter is big deal - lots of moving parts.

You say you are doing this in FIX - don't you find that message latency makes it hard to keep up with the market? How many option chains/underliers can you handle simulatenously?

Who's your market data provider? I've never had a provider yet who hasn't disappointed. Have you looked at hardware accelerated solutions at all? What technology platform are you writing this in? Did you write your own pricing analytics or are you using third party?

Are you marketing your solution or is this just for your own.