I currently leave it on default "auto" with my broker. I'm wondering if I should experiment with routing my option orders to different exchanges. Does it really make any difference if I trade 10 contracts tops?
Yes, it can make a big difference. You want to route your orders to the exchange that gets the most order flow in that product, if you are adding liquidity. If you're taking liquidity, you want to route to the exchange that won't charge you a "take liquidity" charge. The OCC website will give you volume data by security, by exchange. http://www.theocc.com/webapps/volume-query Liquidity debit and credits, you'll have to talk to your broker to see if they pass those on to you, or "eat" them and include it in your pricing. Bob
you are going to have to decide how much slippage, if any, you wish to take on the order. then taking that in to consideration, and the amount of time it takes to fill( as measures in "most" cases, only minutes), then re route the order to another exchange. you have to consider the spread of the B/A, which give you an idea of how much/little slippage you may or may not, first. then if you still aren't getting filled, re route to another exchange
if you only trade liquid options and your broker does not pass on add/take liquidity feeds then just use the auto routing order type.