Managing individual legs of a complex order - auto cancel/replace

Discussion in 'Options' started by Baywolf, Jan 19, 2013.

  1. Baywolf


    I have been using IB's order type "rel + market" combo order with some success at getting executed at or around the mid point of the combo bid/ask spread. But it is not without its frustration. It could take a few hours to get executed on some instruments and more recently, the trade is executed ABOVE the combo ask price - in the case of a buy to open smart order.

    I am now contemplating coding up my own trade management program for working the book on the individual legs to maintain a midpoint position on say, IV, or some other benchmark.

    But before I start any of that, I wanted to see what you guys are doing to manage complex option orders with respect to optimal execution.