Selecting Exchanges

Discussion in 'Order Execution' started by chrismontez, Nov 7, 2007.

  1. I use Smart with IB and leave the default settings. Recently I placed a buy on some NOK calls at $1300 when the spread was about $20-$30 on each side . My order routed to CBOE and showed as the only bid at that price. I saw orders being filled at $1300 later on, but not mine even though it was 1st in line. The spread eventually traded up though my bid with me missing the move. I thought it was 1st listed 1st sold but IB said the other orders executed on ISE, not CBOE.

    So my question has anyone really looked at which exchanges you have the best chance of being filled at when not buying at the ask?
  2. If you are looking at a particular option for a while (about 5 min at most) on a "level II" screen, you can sometimes see one MM at an exchange consistently bidding/offering more agressive than the other exchanges. I.e. 5 exchanges are bidding 1.3, but one exchange is bidding 1.35.