Trading and getting fills with Interactive Brokers

[Guest]

As far as I know it's not possible on IB to be both long and short the same contract in the same account. If you are long 10 contracts and you sell 5, then you are "selling to close" 5. If you are long 10 and you sell 15, you are "selling to close" 10 and "selling to open" 5. To me this functionality is desirable as it has the effect of minimizing your commissions.

 

Thus, if your physical position is made up of several logical positions you have to track the logical positions separately (perhaps in a spreadsheet or through TOS thinkback or something).

[Guest]

Thanks Gary. Just a hypothetical for now, I didn't want to be fumbling around if that situation ever arose.

[Guest]

Good to know! On balance, I'm happy with IB's quirks, as it's saved me from making some costly mistakes in the past.

[Guest]

Quick IB question - I'm opening an account at IB for my options trading to take advantage of the lower commissions (no base fee, only per contract fee) and what I perceive to be better close to mid-point execution based on comments here at SO.  For the "Market Data  Subscriptions" the US Bundle seems to be what I want (fee waived if you have $30 in commissions per month) but I also see another item for "US Options", does anybody know if I need to select anything other than the  US Bundle???

[Guest]

Just in the process of opening an IB account.   It's asking whether "Futures Options" is one of the categories we want to trade.

 

Does anyone know if for SO trades we need to select this category?

 

Hi, 

 

Yes. If you want to trade VIX or any commodity futures options (e.g., Gold, Natural Gas, Crude Oil). I think the only one that Kim trades is VIX though, 

 

Best,

PC

[Guest]

If you guys are sick of IB but want to keep using their order routing and smart execution check out Livevol (but need to have over 35k in your account).

 

it's really awesome and they charge 65c a contract. all the money/execution is handled by IB but the platform is very powerful and customisable. 

 

backtesting and charts suck but that's what you have free ToS paper accounts for

[Guest]

Can you 'switch' ur current IB account into that or do you need to close IB and re open with live vol?

[Guest]

no you can't, you have to sign up for a new account. BUT you can do a position transfer or cash transfer from IB to IB account. so it's not so complicated actually. going through the process myself and the livevol people have been very helpful. 

 

check out their demo video here:

 

http://www.livevol.com/movies/lvx-demo/lvx-demo-movie.html

[Guest]

one thing I came across in their small print was that they charge 0.65/lot and will pass on exchange fees (as IB) but reserve the right to keep exchange rebates. That might be just the same cluase as IB has (didn't check) -  Are they passing rebates on or are they pocketing them?

 

Also if for some reason you need/want to use TWS - you still can right?

[Guest]

Hi Marco, haven't really looked into that but here is what it says on IB:

 

 

In cases where an exchange provides a rebate, we pass some or all of the savings directly back to you1

 

IB's Cost Plus commission models are not guaranteed to be a direct pass-through of exchange and third-party fees and rebates. Costs passed on to customers in IB’s Cost Plus commission schedule may be greater than the costs paid by IB to the relevant exchange, regulator, clearinghouse or third party. For example, IB may receive volume discounts that are not passed on to customers. Likewise, rebates passed on to customers by IB may be less than the rebates IB receives from the relevant market.

 

Some or All means anything from greater than 0% to 100% rebate IB got. It is at their discretion so technically they can pass on 0.000000000001% of the rebate back to you and this statement would still stand.

 

I think the main advantage for livevol is #1 their platform, #2 they are 5 cents cheaper than IB's 70c commission on option premiums >10c, so it should cover whatever rebate they decide to withhold most of the time.

 

however, i don't know if they will match IB's policy on  < 10c contracts for 50c. Probably will email them about that. 

 

you can keep your IB account open and just transfer whatever % of money you want directly form IB to your livevol IB account. then you can just use TWS and livevol at the same time.

[Guest]

Hi, 

 

Sometimes liquidity rebate takes a lot off your commission, e.g., 

 

http://cdn.batstrading.com/resources/regulation/rule_book/BZX_Fee_Schedule.pdf

 

"Customers who provide liquidity are offered $0.30/contract rebate on BATS option exchange" - so original IB commission of 0.70 should be rebated to 0.40/contract under this case. 

 

Also, can someone confirm if Livevol does actually execute with IB platform. I checked their fine print and they said that they clear with either IB or Apex.

 

http://www.livevolsecurities.com/stock-options-trading-pricing

http://en.wikipedia.org/wiki/Clearing_(finance)

http://www.onlinebrokerrev.com/other_articles/clearing-firms.php

 

Clearing is different from execution. For example, my former employer Lime Brokerage cleared through Apex and Goldman Sachs  which meant that the customer's account custodians was at these clearing firms (so our clients got access to the Goldman Sachs account management portal and margining) but the execution of the trades were routed not through clearing firms' trading platform but through Lime's trading servers co-located with the exchanges server-room in Jersey City and Kansas City.. (For anyone who's curious as to why people don't just get accounts directly through Goldman, the value-add was the co-location where most customers were algorithmic high frequency traders; customers upload their algo's onto the trading servers and respond in real time to quote streams and pipe out orders to exchange servers a few feet away in the exchange data centers). 

 

In other news, in the course of looking up Livevol, I realized that I just passed by their headquarter this afternoon sightseeing on vacation; they are located in the financial district in San Francisco, very close the TransAmerica Pyramid building. This just means nothing except that I check too much on this forum, 

 

Best,

PC

[Guest]

...trading servers co-located with the exchanges server-room in Jersey City and Kansas City.. (For anyone who's curious as to why people don't just get accounts directly through Goldman, the value-add was the co-location where most customers were algorithmic high frequency traders; customers upload their algo's onto the trading servers and respond in real time to quote streams and pipe out orders to exchange servers a few feet away in the exchange data centers). 

 

 

Hi Paul,

 

funny I was just reading about this:   http://finance.fortune.cnn.com/2013/08/30/latency-arbitrage-costs/

 

This guy did a study where he showed how he could easily do latency-arbitrage by getting the NBBO ahead of the public.

 

"Here's how Hendershott's latency-arbitrage strategy worked: Redline allowed him to use its "direct market access" -- cables that run directly from exchange servers to its own. Redline's server was co-located with that of BATS Exchange so that the "latency" on information and orders coming from BATS was cut down to barely one thousandth of a second. As a result, some of the quotes on public feeds such as the crucial "national best bid and offer" feed were a few milliseconds behind those Hendershott could see on his direct link with the exchanges. With a half-decent trading algorithm, Hendershott would have had ample time to buy Apple at a stale price with a guarantee that he could sell at a profit. Every couple of seconds. All day. Risk on the trades: zero."

[Guest]

FWIW - Livevol might take the rebate - but in return they are offering a pretty awesome tool. I would say its better than TOS but not a complete replacement. The livevol development team has done an awesome job. And its waaay more intuitive than IB (which i find to be the least intuitive interface I've ever used).

[Guest]

Yes I agree. ToS still has the best analysis tools but the IV historical data and the way it's presented on livevol is unmatched by ToS or TWS.

[Guest]

Hello, got an email back from LiveVol regarding questions posted above:

 

Hi Michael,

 

Hope you had a nice weekend.

 

1)      For the account you are opening, the clearing will be done by Interactive Brokers.  We do allow APEX accounts but those can only be opened by USA citizens.  Additionally, APEX accounts are typically geared for extremely knowledgeable and experienced traders who plan to fund the account with a substantial amount.

2)      This is essentially the same answer as above.  For your account, the trades will be placed through Livevol X but the actual execution will be handled by Interactive Brokers.  For APEX accounts, it is Instinet.

3)      The rebates will be handled by Interactive Brokers so any amounts that you see on their site, you can expect those same amounts for your account.

4)      We don’t match IB’s rate on the options below a dime but if we see you’re doing a lot of volume after you open the account, we can certainly take a look at your overall rate and possibly give you a lower one.

Thanks and let me know if you have any more questions.

[Guest]

Hi everyone,

 

My apologies if you guys have already had this conversation, but I am looking for a way to place a contingent order on a spread and I want to place it at the mid price (give or take 5/10 cents).  Is there a work around to be able to do this with IB?  I understand that you can place an order at the Mark in TOS, but IB does not have anything similar.  

[Guest]

Thanks.  I've tried with IB, but I just get the answer that an order at the mid price cannot be set up in advance for a spread.

 

I was hoping that someone in this group had found a creative way around things.

 

What do you do if you want to place an order in advance -  for when a specific price of the underlying is hit (for example closing a spread at a specific price of SPX)?

[Guest]

Thanks again..

 

As a matter of fact I have been investigating a subscription for ONE versus OptionVue.  It seems like ONE is less expensive.  Do you use it with an IB data feed?  Any comments on either product?

[Guest]

I am using ONE software with a live data feed through IB. Has anyone come across the following message and is there a way to prevent this other than paying an additional $30/month for the booster pack?

 

"You have requested data for 116 contracts simultaneously, which exceeds your account current limit of 100. You may increase your limit by subscribing to market data Booster Packs.

 

Continuous Watchlist Sort Note: Enabling "Continuous Sort" of a watchlist requires simultaneous market data for all contracts in the watchlist, including contracts that are not visible in the watchlist window."

 

(tried attaching a picture, but would not accept my .png file)

[Guest]

Kim,

 

With regard to the Interactive Brokers trading platform do you have any suggestions on how best to get familiar with it for a newbie? There are quite a few options including TWS, TWS Latest,TWS beta and then there are the web trader editions. I have setup a paper trading account. Perhaps IB can also offer some help in this area. I know they have some tutorials.

 

Thanks,

Rich.

[Humble]

I'm using TWS, not web trader. It offers more options. The platform does have some learning curve, but once you get used to it, it's actually pretty good. The IB tutotials are not bad, it's a good place to start. 

[Guest]

Hi, 

 

Another thing I'll add is a major advantage of using IB TWS over WebTrader is that sometimes when you enter a multileg trade with 2 or 4 legs, it is easy to mess up your legs especially with WebTrader clunky interface resetting the expiration dates what-not; nothing is worse then entering into a trade that you didn't intend, having it fill and trying to get out of it with more commission and unfavorable spread (I'm sure some of you have had similar experiences as me...)

 

On TWS, when you're closing a position, it'll tell you if you own the position or not on the order, so it's a good way to check for errors. 

 

Best,

PC

[Guest]

Hi Kim,

 

I was told by the IB team that the ComboTrader has been deprecated out of TWS as of version 947 released on Oct 23, 2014.  It has now been replaced with StrategyBuilder.  It is also mentioned in their release notes.

 

I have to watch a few of their webinars that they asked me to watch to see if I can figure out how to enter your trades into my Paper Trading account.  But it would be nice if you are able to help update this topic with new instructions using their latest version of software so it will help speed up the process for myself and others who are new to options trading. Thanks,

 

Praveen

[Humble]

Type the symbol, click enter and then combinations, then "option combos Smart"

 

[Humble]

I'm often asked how to get good fills with IB.

 

So first, it is important to understand that getting good fills is critical in short term trading. Trading is a business. As in any business, prices are involved, and our profitability of success will always depend on our ability to get good fills. Every business revolves around this cost equation.If getting good prices was so easy, there wouldn't be any markets/any business...

 

Before placing a trade, always observe the prices for a while. Here is an example how prices are presented in IB:

 

 

This is an example of a calendar spread where the mid of the long leg is 11.25 and the short leg 10.25. So the real mid of the spread is 1.00. However, since the bid/ask of the spread is 0.90/1.40, IB presents the mid of the spread as 1.15. This is not correct. Please always calculate the real mid based of the mid of the individual legs.

 

After you observe the mid for a while, place an order slighly below the mid (for buy orders) or slightly above the mid (for sell orders).

When you place GTC order, sometimes It doesn't get filled. While if you change it into a limit order (during active market hours), sometimes it gets filled even though the price is same as in GTC. Sometimes just "pausing" the order and resubmitting it would get filled. "Playing" with the order by changing it by 1-2 cents sometimes helps.

Changing the order from SMART to specific exchange, for the same price, can work as well.

[Guest]

Hi Kim,

 

You write to buy slightly below the mid and sell slightly above the mid. This would be better than mid pricing (i.e., if a spread is trading at a 1.00 mid, we would try to buy it for .98 and sell it for 1.02). Is this correct? I know I struggle to get mid pricing often and would think it makes sense to buy slightly above and sell slightly below, accepting a few cents of slippage.

 

Also, are there any exchanges that you've had luck with?

 

Thanks,
T

[Humble]

Getting filled better than a mid doesn't happen too often but sometimes it does. I'm not saying you will get a fill each time, but this is where you should start. Also prices tend to fluctuate and the mid might come down.

If you don't try you don't know, and sometimes you might be surprised by the fills you get.

[Guest]

i just tried Kims suggestions on the TLT trade and it worked! I had a GTC order to sell at 0.54 for several hours which would not get filled. As soon as I "played with it" a bit it got filled at 0.54! I tried a combination of things like pausing execution, changing from GTC to Day and finally cancelling and resubmitting the order.

[Guest]

Kim, when you're opening orders for calendars (e.g. PCLN, CMG, GOOG, etc.) do you have GTC orders open for multiple strikes on both the call and put side to see what you can get filled?  If not, are you looking at the mid price for all of the calendars (near at the money) to see which ones you might be able to get filled at the best price?  That's what I typically do when putting orders in, but I'm viewing the mid-prices in TOS and putting in IB orders in webtrader.  The mid prices can be misleading, and typically I'm not able to get filled at mid-price.  I usually have to go quite a bit higher than mid especially in less liquid products like PCLN and CMG.  There is no functionality to pause execution in either webtrader or MobileTWS, and I have no access to TWS from work.

[Humble]

Yes, most of the time I would put GTC limit orders at multiple strikes. And I'm doing exactly the same thing - look at the mid at TOS and place orders at IB. With CMG or PCLN, it is actually not unusual to get files better than mid. Have seen it more than once. This is because prices really fluctuate on those stocks, and you might just be able to take advantage of temporary dip in price to get surprisingly good fill.

[Guest]

Kim can you please post a screen shot of having multiple orders with multiple strikes going at the same time. I'm a bit confused and don't want to have a bunch or trades all filled at the same time. I'm sure what you are talking about is easy enough to do I'm just not understanding how to implement it in a safe way.

Thanks

[Humble]

I don't have each order for full position. If I want 10 spreads total, I might place orders on 5 spreads 2 contracts each.

[Guest]

Sorry I'm still not getting it. with the current AMZN trade for example you posted that you had a

 

BTO Nov 20 575put

STO Oct 23 575 put

 

when you say multiple strikes do you setup orders for 580 puts of the same trade and see what price you get?  An example would help me understand. 

Thanks

[Humble]

Correct. 575 put calendar, 575 call calendar, 580 put calendar, 580 call calendar etc.

[Guest]

Hi!

 

Newbie here: What subscriptions to market data  in IB do I need: Very thankful for your help to get up and running to the real time prices we need!

 

(I was already recommended the CBOE Futures for $2.50 pr month and Market Data Express Indices for $2.25 monthly)

 

 Quote Bundles

• US Value BundleWaiver 
• US Value Bundle PLUS5.00 USD 

Indexes

• DJ Global Indices1.00 USD 
• Market Data Express Indices2.25 USD 
• NASDAQ Global Index Data ServiceFree 
• NYSE Global Indices1.00 USD 
• Russell Indices2.00 USD 
• S&P Indices4.25 USD 

Level 1(NBBO)

• AMEX Equities1.50 USD 
• CBOE Futures2.50 USD 
• CBOT (Globex) Derivatives1.25 USD 
• CME (Globex) Derivatives1.25 USD 
• COMEX (Globex) Derivatives1.25 USD 
• Canadian Equities16.00 CAD 
• ELX & NFX FuturesFree 
• Mexican Derivatives5.00 USD 
• Mexican Equities12.00 USD 
• Montreal Derivatives6.00 CAD 
• NASDAQ Equities1.50 USD 
• NYMEX (Globex) Derivatives1.25 USD 
• NYSE Equities1.50 USD 
• OTC Equities3.00 USD 
• US Mutual FundsFree 
• US OptionsWaiver 

Level II (Deep Book)

• AMEX Options10.00 USD 
• ArcaBook Equities10.00 USD 
• ArcaBook Options10.00 USD 
• Boston Equities1.00 USD 
• CBOE Futures4.00 USD 
• CBOT (Globex) Derivatives6.00 USD 
• CME (Globex) Derivatives6.00 USD 
• COMEX (Globex) Derivatives6.00 USD 
• ICE US Derivatives120.75 USD 
• ISE Options10.00 USD 
• Montreal Derivatives9.00 CAD 
• NASDAQ Options10.00 USD 
• NASDAQ TotalView Equities15.00 USD 
• NYMEX (Globex) Derivatives6.00 USD 
• NYSE OpenBook Equities25.00 USD 
• OneChicago FuturesFree 
• Toronto Equities14.00 CAD 
• Venture Equities16.00 CAD 

Fixed Income

• Bond Ratings1.00 USD 
• US Bond QuotesFree 

Other

• AMEX MKT Order ImbalancesFree 
• NYSE Order ImbalancesFree 

[Guest]

US Value Bundle waiver gives you most of what you need for SO trades and is free if you have commissions over 30 (?) USD per months think. If you trade VIX and RUT/SPX trades you will need a couple more but they are fairly cheap.

TWS will tell you if you add a ticker and don't have real time data. You usually can then either choose to have delayed prices or it takes you to the subscription page. So stick in the tickers you want to see and you'll see if you have the necessary subscriptions  

[Guest]

Kim or perhaps another member, I have read before there is a setting on IB that enables more aggressive executions that perhaps costs a little bit more for execution?  Would you be able to share once again?

Thanks

[Guest]

@ tradelon


Only for those using TWS from Interactive Brokers:



In the TWS Configuration menu you will find " Smart Routing". If you click on this the smart Routing configuration will open. At the lower end there is the "Smart Option Routing Algorythm".

Here you can configure your prefered Routes for Option-Orders.

For example: If you choose "maximize Fills" you must count with higher commissions but perhaps faster fills.



For exact explanation you must read the TWS Manual or search the IB-Homepage.

aiti

[Guest]

Aiti, that is very helpful, thank you very much for that.  I contacted IB and was told by two people this didn't exist so your help is appreciated.

[Guest]

Kim or any other fellow members, this is IB related peculiarity/nuisance that I have encountered while adjusting NFLX RIC. After I adjust the RIC, IB does not combine the new legs as a spread. I created a new spread under option trader->strategy builder representing the modified RIC and added it to the quote panel, but it does not pick up my position on that spread. Has anyone encountered this and solved somehow? Without this I will have to close individual legs and that is a royal pain. Appreciate any help.

[Humble]

I experience this as well. It should catch up tomorrow. We will close the trade as separate spreads anyway (call and put).

[Guest]

Had the same problem. I logged out of IB and logged back in and it put the spread back together.

[Guest]

@ tradelon

Only for those using TWS from Interactive Brokers:

In the TWS Configuration menu you will find " Smart Routing". If you click on this the smart Routing configuration will open. At the lower end there is the "Smart Option Routing Algorythm".

Here you can configure your prefered Routes for Option-Orders.

For example: If you choose "maximize Fills" you must count with higher commissions but perhaps faster fills.

For exact explanation you must read the TWS Manual or search the IB-Homepage.

aiti

 

And here is the link to TWS manual https://www.interactivebrokers.com/en/software/tws/usersguidebook/configuretws/configure_smartrouting.htm

And the explanation:

 

 

 

SMART Option Routing Algorithms

Choose how to route a smart-routed, non-marketable options order.

• SMART Multipurpose (SMART) - this is the basic smart-routing algorithm. Routes your non-marketable order to the default exchange for the contract.
• SMART Maximize Rebate (SMART MaxRebate) - Routes the order to the exchange offering the highest rebate.
• SMART Prefer Rebate (SMART PreferRebate) - Routes the order with the bias toward getting a rebate vs. getting the order filled.
• SMART Prefer Fill (SMART PreferFill) - Routes the order with the bias toward getting a fill vs. getting a rebate.
• SMART Maximize Fill (SMART MaxFill) - Routes the order with the sole objective of getting a fill.

[Guest]

IB question for anyone who let a bull call spread expire with both legs ITM, do margin requirements come into play??   I had a couple of RIC's on for ISRG earnings, both legs were comfortably in the money all day today but I couldn't close for 4.90 or above on the 5 strike call spread, so I decided to just let it expire to get the entire 5.00 value upon exercise.   After market close, I got to thinking that since ISRG is a $560 stock will I hit any margin issues in between the exercise of the long and short legs of the call spread.

[Guest]

I'm pretty sure IB offsets the positions, or else a warning/liquidation would have occurred before market close.

[Guest David]

After reading the praises of "Live Vol" , I checked out their site and it appears that they charge $500 or $300 per month to use their different products.

Everyone had been talking about the commission expenses but nobody mentioned this significant monthly fee.

Is there some way around this if you are an IB customer?

[Guest]

On 7.10.2013 at 5:54 PM, Kim said:

I would like to describe the process of making an adjustment, using our current YUM trade as an example.

 

We started with the 70 straddle. As the stock moved higher, I made the following adjustment:

 

Sell to close YUM October 18 2013 70.0 call
Buy to open YUM October 18 2013 72.5 call
Price: $1.31 credit. 

 

Basically what we are doing here is selling the 70/72.5 vertical spread. So this is what we need to do:

 

1. Open a combo trader for YUM (right click on the row, then select Combination/Options Combos.

 

2. From the combo trader, select vertical strategy, then expiration and strikes.

 

 

3. Click OK or Add. You will see the appropriate combo with the individual legs.

 

4. Click on the ask to buy or the bid to sell. In this case, we want to sell the vertical since we are selling the 70 strike and buying the 72.5 strike. Since we are selling it, we will get a credit, and we want to click on the bid and increase the value to get as much credit as possible.

 

Rest of the steps are similar to the opening order.

 

After you are filled, the adjusted position will be a 70/72.5 strangle. You will need to re-create the position in order to close it as one single trade.

 

> How can I re-create the new position in the TWS to a strangle (which it is now) in order to close it as a strangle afterwards? This would help me to organize my open positions instead of seeing a lot different legs for different underlyings which confuses me. 

Thanks

Robert

 

Edited November 10, 2016 by Bronko

[Humble]

Depending on TWS version and your settings, you should see the new position (strangle) on the portfolio page, so you can just copy and paste it into your working page.

[Guest]

My current Version is:  Build 960.2a, Nov 4, 2016 3:06:59 PM

No, the TWS shows me 2 legs after adjusting the straddle. Is there something I can configure?

[Humble]

I have the same version.

 

Check out the following setting: