Desired Interactive Broker Functioned

Discussion in 'General Discussion' started by Edward, May 8, 2016.

  1. Edward

    Edward Well-Known Member

    Is there a programmer that uses the broker Interactive Brokers? Me and probably some other Capital Discussion members would like an order type that seems to be missing from IB for some reason. The program would probably need to interface with IB thru it's API interface. Currently IB has an CONDITIONAL order type that uses the SNAP MID function for option orders. You can add an offset for the MID price for option orders. Currently the offset has to be a positive number that is subtracted from the MID price. You can add an offset of Zero but you CANNOT enter a negative number in the hope that you can give a little to the market so we have a better assurance that an order will be filled. It would be nice if there was a conditional order that can do that. --- The program should have the ability to have up to 9 conditional orders.

    ..Ideally the best order type would be a Conditional order with the Peg Mid function and an Offset that is added to the Mid Price. The Peg Mid function follows the Mid price as the market moves. I believe the Snap Mid function does not follows the MID price as the market moves. I think it only takes the MID price as the condition is triggered to be true.

    Thanks ahead of time.
  2. Gabor Maly

    Gabor Maly Well-Known Member

    Snap Mid does not follow the price and for this reason I would argue it is useless(the whole point here would be that you can set up your oder and walk away). There was a guy in the Sheridan community who teamed up with a programmer and created the Peg mid order for it was years ago I no longer remember who it was but maybe they are part of this community and reading this.
  3. Steve S

    Steve S Well-Known Member

    Don't think any of the IB peg-type orders will work well for options or options spreads, except possibly pegged-to-stock, but I've never tested pegged-to-stock for index contracts so don't know if it's flexible enough (you would really want to peg SPX to ES or SPY and RUT to TF or IWM). Bigger problem for pegged-to-stock is it only handles delta and not gamma, so depending on how much gamma the trade has there is only a limited underlying range where your price is where you want it. Best solution is to write your own TWS API code to move your order relative to your own chosen basis underlying, including both your delta and your gamma parameters, and your own underlying price range up/down outside of which your order will cancel. This is what I use, plus you can use the TWS pairs order type to pair a server-resident hedge with the option order, which is great for low-stress legging in. Building an app like this is a medium-sized TWS API coding project ... not small and easy, but not a huge undertaking.
  4. Edward

    Edward Well-Known Member

    Hi Steve,
    The condition I am looking for is when SPX or RUT indexes falls to a certain level. I then want the conditional order to buy a SPX or RUT Put option at a predefined strike. I was thinking of just setting the limit price to the middle of the bid & Ask spread plus 0.10 or even 0.15 more so there is an assurance the order will fill automatically. I was not thinking about looking at the Greeks to set my limit price.
    I am also not a programmer. I was hoping a programmer in the Capital Discussion community could help.
  5. Steve S

    Steve S Well-Known Member

    Sorry for the misunderstanding, your first post sounded like you wanted to actively work orders for fills with controlled slippage ... are you talking about having conditional orders in that you don't have to monitor at all, and you're willing to have significant slippage?
  6. Edward

    Edward Well-Known Member

    Yes, the conditional order is there for a reasonable chance for a fill if I can't get to a computer. I think a Peg order slightly higher then Mid price should fill without too much slippage . --- The only 100% Guarantee fill is a outright market order.
  7. Steve S

    Steve S Well-Known Member

    Right, the only problem being when "the mid is not THE mid" which might leave you either paying more slippage than you have to, or on the other side getting stuck with a too-low bid that won't get filled timely. I'll bow out of this thread now and hopefully others with TWS conditional order experience can jump in with some good practical tips.

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