Front Running Order FLow on ThinkorSwim

Discussion in 'General Discussion' started by Thetaseeker, May 19, 2015.

  1. Thetaseeker

    Thetaseeker Member

    There is another issue which reluctantly bring up and its the issue addressed in the book "Flash Boys"; I do not believe we are getting the real market on quotes on the TOS platform. Just try to place a simple buy order for an option, by the time you push the button the price changes often by 10 to 20 cents. Just switching from buy to sell changes the price bid and ask by a lot. Someone is either not providing us with the real prices or front running the orders. I don't seem to have this big an issue on other platforms, such as IB, although I am not saying they don't do the same type of thing. However they at least boast of saving or narrowing the bid/ask spread.

    This is actually a big deal. If you read that book, and i believe we all should, we are pray for the brokers, and they sell order flow had extremely high prices or just trade against their own clients them selves. I am not happy, this transaction costs is much more of an issue than the costs of trading.

    James Munafo
  2. RayM

    RayM Well-Known Member

    Thought you might like to also watch this < 8-minute video.

    fyi, if you did not get this or have a change to watch, Seth did a wonderful recording titled "Don't Chase Your Own Tail in Order Execution" dealing the the topic of "Mid" pricing.
  3. Thetaseeker

    Thetaseeker Member

    Thanks Ray, a very good and informative video and it has practical advice for traders. However, it does not explain everything and why the mid and natural prices move so much by just switching between a buy to sell on a single option BEFORE placing the order. The difference in the ranges are sometimes very large. Why not give us the theoretical fair value on the order screen, that would help at least getting a sense of where the pricing should be. As for front running, they make too much money not to either do it themselves or sell access to a HFT group.
  4. RayM

    RayM Well-Known Member

    Fully agree as I was just sharing.
    One other point to consider is, if you are using an illiquid strike or underlying, the current calculated data might be "stale" and when you model an order and before placing the order, TOS might refresh the data in light of your model and bring the calculation to a non-stale value. YMMV
  5. Gabor Maly

    Gabor Maly Well-Known Member

  6. Kevin Lee

    Kevin Lee Well-Known Member

    Theoretical prices are availble. You need to turn it on to display in the option chain.
  7. marat

    marat Well-Known Member

    I often observe related situation on IB, trading ES futures options. E.g. if I put an order to sell just below ask, number of orders immediately appear in front of me. I imagine it is an algo that reacts to me shifting the mid.

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