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TOS - Using new method to calculate mid

Discussion in 'Online Brokers' started by Tps, Jul 7, 2016.

  1. Tps

    Tps Guest

    If you look at the mid or mark of an individual option in tos it is no longer the true mid. TOS told me that they are using some sort of arb free model to calculate the mid. It is complete bs that they did this without alerting customers. For the past several days I have been putting orders in at the mid and getting filled right away. In most instances, the new mid is not the "mid" and in some instances is wildly off from the true mid.
     
  2. stevegee58

    stevegee58 Well-Known Member

    IB's mid on spreads is also non-intuitive sometimes. The true mid of a spread is calculated using the mids of all the legs that make it up. But if you pull up a spread such as a BWB and someone is bidding that particular spread then the spread's mid takes that bid into account.
    You're right, it's tricky knowing what the true mid is and it's also important. I frequently starting bidding spreads there.
     
  3. Tps

    Tps Guest

    This is a new phenomenon in TOS. I noticed a few days ago when my P&L no longer matched my P&L in one. I was aware that IB did not use the true mid, but TOS always did.
     
  4. Tps

    Tps Guest

    11:59 Tops: The new arb free method of calculating mid prices is vastly off in some instances. Is there a way to revert my application to the true mid?
    11:59 Tops: right now the rut 1080 put is 11.80-12.10. you show the mid as 11.80
    12:00 Tops: and if i enter a spread it is using these incorrect mids so i have to go in and manually calculate everything
    12:02 Tops: upload_2016-7-7_12-5-10.png
    12:03 Erica: hello, unfortunately no.
    12:03 Erica: sorry.
    12:03 Tops: hi - it is causing a lot of angst for customers
    12:03 Tops: i know it's not your fault, but maybe you can let the correct folks know
    12:03 Erica: I would be happy to pass up feedback. maybe there is something that can be done for the future
    12:04 Tops: thanks
     
  5. Dennis L

    Dennis L Member

    Oh no - yet another change without announcing it. I completely understand the frustration! :mad:

    Reminds me of the time they changed the implied vol "to better reflect real markets" That's when I decided enough was enough and sought out alternative broker/platforms. I now have accounts at TOS, IB, LVX, TradeMonster, and LiveVol (through IB) - unfortunately all the alternatives I've tried have their own set of quirks and issues. I'm OK with that as long as they are consistent with the quirks.

    BTW - You can add spreads to charts in IB and trade from the chart - not the mid (or ideal), but is the last price the spread traded at.
     
  6. Joe A

    Joe A Active Member

    I don't see anything new or different in SPX this morning in terms of marks (see below), but the RUT is indeed showing a 7.16 mark on the 1210 Jul 22 call with 6.90-7.40 bid/ask. This RUT mark is not wildly off like the example shown above, but they are clearly doing something differently.

    upload_2016-7-14_9-24-59.png
     
  7. Paul Demers

    Paul Demers Well-Known Member

    It is beyond me how they think they know better than their third grade math teachers on how to calculate a mid price.
     
    Tps likes this.
  8. garyw

    garyw Well-Known Member

    I observe this issue with RUT but SPX still seems correct! (for the expirations checked so far)!
    It seems the "new algorithm" is applied ONLY while Volume < some threshold? <--- Just from quick observation, no real data from anywhere.
    I have observed Bid/Asked prices for options with NO volume result in a significant error in the estimation of the "true price" if the normal "mid price" is assumed correct, so there "MAY" be some validity to what TOS is trying to do.
     

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