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Direct MessagesDate/Time: Sun, 05 May 2024 12:26:25 +0000
Post From: Poor reliability when trading options
| [2014-01-01 07:52:22] |
| Lesmond - Posts: 22 |
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SC Support: Does not seem like you need to use SMART because options are only going to trade on one exchange to our knowledge.
Not exactly. While a few contracts, like SPXPM options, trade on a single exchange (CBOE electronic + open outcry), most US options trade on multiple exchanges, so using SMART is an obvious choice when placing orders in IB's TWS. Here is a screenshot of AAPL contract in question taken from MyTrack's composite data screen: http://img543.imageshack.us/img543/2383/e1ub.png Level-1 NBBO quote looks like this (bottom line): http://img41.imageshack.us/img41/3648/a46k.png The screenshots were taken on Jan. 1st at 01:50 AM so some data, like Size, has already been purged, and NBBO (red quotes under bid & ask on the first screenshot) is stuck at GEM 3.50/3.90 for some reason (it should show AMEX 3.70 / BATS 3.80), but you get the general idea. The problem reported by OP might be related to "primary_exchange" identifier issue that affects some US stock symbols, where a US symbol is identical to a symbol that trades on some overseas exchange, so further identification is required. It's explained by IB support here: http://www.elitetrader.com/vb/showthread.php?s=99c71296478019d0bf23237d0c6e0a84&threadid=279936&perpage=6&pagenumber=6 If this is the case, then the possible solutions for option symbols would be as follows: 1) AAPL-OPT-20140103-560-C-SMART-AMEX-100-USD 2) AAPL-OPT-20140103-560-C-SMART/AMEX-100-USD 3) AAPL-OPT-20140103-560-C-SMART:AMEX-100-USD Format #1 is preferred, but requires that the software (like Sierra) supports a separate "primary_exchange" field. If it's not supported then format #2 or #3 and TWS v936 or later is required. Here is how it works with stocks: 1) MSFT-STK-SMART-NASDAQ-USD 2) MSFT-STK-SMART/NASDAQ-USD 3) MSFT-STK-SMART:NASDAQ-USD I can't test all this myself because I don't have an active IB account at this point. Date Time Of Last Edit: 2014-01-01 08:21:55
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