Broker plugin

How many Zorro users know that only one broker plugin included in Zorro supports combo order type before he/she chooses Zorro as primary automatic trading platform? Or you have to pay for this function by yourself so they'll develop one for you.

Am I alone here?

Very curious.

I developed the Ally Invest plugin and implemented options combo orders.

The source code is here:
https://github.com/AndrewAMD/AllyInvestZorroPlugin

I added the feature because I wanted the feature.

Whereas, there are various closed-source plugins by oP group. Simply ask nicely for the new features you want, and they may or may not decide to implement it.

There's nothing to stop you from, say, developing your own version of any plugin. But it may or may not be worth your time.

Thank you Andrew for your kind reply.

As a trading platform, it's essential to provide all the functions traders can get directly through broker's platform, it would be nicer if Zorro puts all the functions they have not implemented on their comparison page so people can truly understand what the pros and cons are if they use Zorro. Not every one is programmer and people are smart enough not to use entry level scripts(I'm not talking about your plugin here, pls don't misunderstand) to do serious live trading. The most annoying part is, you have been on the road, all of sudden, you realize there might be lots of, you don't even know how many, hurdlers still ahead, you have no idea if you can afford to have a working strategy. It's a huge waste of time, money and energy. Maybe the only option left is to drop.

SAD

All platforms have their own trade-offs. I think Zorro has a pretty good value-to-cost ratio.

A combo order is nothing more than a series of orders placed simultaneously. There may or may not be cost savings with a combo, and this depends on which broker you are using. You can make a virtually identical system with or without combos.

You would need lots of volume for the difference to be non-negligible. Why would this of all things be a deal-breaker?

Like I said, if you want a feature for your plugin of choice, ask for it.

If you have written at least one Zorro script, you are officially a programmer. Congratulations!

With my broker IB, when I trade option spreads, if entered, all legs entered, if not, none. If place orders for each leg respectively, you might end up naked call or put because some legs might not get filled, which is risky, you definitely won't do that. It's not identical with combo order. That's the deal breaker.

Are there any diffs with ALLY on this front? I guess that's why you developed the combo feature in your plugin, right?

Regarding the programmer thing, the point is, it just likes you buy a car, you expect the car comes with a brake, when the auto maker tells you that it doesn't, you have to roll your sleeve up to install one by yourself, what would you do? Either you're a mechanic, you buy it for a good deal, or you simply walk away to buy another car.You get choices BEFORE you decide.

Thank you

As the systems architect, you are responsible for risk management.

Did one of your options trades fail? No problem, close the other legs of your strategy. It’s not hard.

It has nothing to do with HARD or not. If that's what you have to do, why would you use this platform in the first place? Just for fun?

"Why would you use this platform in the first place?"
For me, even considering the shortcomings of zorro (charting comes to mind...), zorro is a LOT more flexible than other platforms I've used. Sure, you might need to jump through some hoops at some point, but I've never come up with a strategy that I can't implement in zorro.

I am a Zorro's fan, but if the platform, does not have functions that for your trading style are a "must to have", obviously you have to pick up another platform that has such features.

I do not see many other alternatives.

my 2 cents

You nailed it.

I forgot to mention - the risk you take in placing the orders individually vs. in a combo is virtually the same.

If you place a four-leg combo order on the market vs the equivalent four orders, you will end up with four individual orders in both cases.

Your four orders will have varying states:

1) Pending fill
2) Expired and failed to fill
3) Expired and partially filled
4) Filled completely
5) I might have missed some other states depending on trading platform.

On any trading platform, you will still be responsible for handling all of these cases, and any combination of these cases with all of your option legs.

You should not be under the illusion that combos are a "safe" leg entry method. You can enter a "safe" combo and still somehow end up with a negative balance if the orders do not fill as expected. That is, unless you manage risk.

Well, this is helpful. Then how would you deal with this situation normally? Close all opened legs?

I'll check with IB to see what they have to say.

Best

Easiest method is:
1) If any filled, and at least one failed, cancel all pending orders and neutralize net position on the rest.
2) In addition to the above, it would probably be smart to send an email to yourself in the case of fill failures so that you can clean up. I hadn’t done this before but the “emailR” R package looks like an easy way to implement this.

This issue is mostly relevant when placing limit orders on each leg of a combo.

The easiest way then will be to convert limit orders not filled within a certain time period to market orders.

"
Hi Peter

If I place a combo order, like strangle, are there any possibility the order ends up with one leg gets filled while another not? I think if filled, both filled, if not, none, is it correct?

Thank you

IBCS 2018/09/04 03:54:16

If you place the order as part of a combo then the order will only trade as a combo, what that means is that you will not only get filled on one leg for example, you might get a partial fill, for example you might try to trade 10 strangles but only get filled on 5 but you will only trade strangles rather than one leg and not the other.

I hope that this is clear but please let me know if you have any further question.

Many thanks,
Peter
Risk & Trade
"

Here it is, from IB. There IS a difference between broker's platform and Zorro which should be taken care of. Look forward to your comments on this.

Best

Fascinating! If this is how IB handles combos, then I believe we have a compelling case for a feature request. I will submit a formal request later today.

Thanks,
Andrew

UPDATE:
The feature request for the IB plugin can be found here:
http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=473994&#Post473994

It would be great to clarify if limit orders are accepted for Combos

Thank you Peter, it's clear.

Can I place a limit combo order? Or it has to be market order for a combo?

Best

IBCS 2018/09/06 07:36:18
An order for a combo does not have to be a market order, the same order types that are supported on individual options are available on combos too, so yes, you can use limit orders.

Many thanks,
Peter C
Risk & Trade

This is good news.
If I read IB API docs correctly, it is also possible to request/receive pricing for the combo as a whole...

You can, but it's inadvisable in my experience.

The thing to be aware of there is that the bid/ask of the combo is not necessarily the combined bid/ask of the individual legs. IB will factor in "native" orders for that exact combo into the price calculation (including your own orders if you have any in). So for instance, if there are a couple of orders in the book for your exact straddle, the midprice quote for the spread will differ from the combined mid of the legs. This can result in you mispricing your orders if you're not careful.

This drove me crazy (and wasted some cash) until I clued into what they're doing.

Interesting! Thanks for sharing.
Was it a frequent occurrence? and in what underlyings?

It's much more likely to happen in underlyings with heavy open interest, just because there are more combos on the books for any given strike. Less so with more thinly traded contracts.

Put a few combos on your quote page for the FANG stocks and do the math on the spread mid as quoted versus the one you calculate from the individual legs and you'll see it.