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mauikona

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About mauikona

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  1. Multi-leg order entry

    Multi-leg order entry would be useful for options spread traders. While single leg trade entry has similar results at times, other times it is materially worse. Spread-entries often benefit from price-improvent and/or margin relief, relative to the same position entered by one leg at a time. Some positions are even impossible to enter without spread order entry, due to account restrictions or market conditions. Three examples to illustrate: Example for price improvement--enter long in an SPX option(min tick size is $0.05): If the ask is $0.05 and the bid is $0.00 then the single leg trader must enter with a market order at $0.05 as it is not allowed to place a limit buy at $0.00. A spread trader, however, can buy the option as part of a multi-leg order and get filled on this option between $0.01 and 0.04. Example for margin relief--AMZN calendar spread ($988 stock): A calendar spreader can be smoothly enter a two-leg calender for $40.00/share. This requires $4k in buying power before doing the trade. However, the single-leg-order-entry trader, to get the same position, might have to first enter the long for $400/share, then enter short for $360/share. This requires that the account have $40k in buying power before starting the first leg. Example for price improvement: many two-leg spreads can get filled mid-way between the composite bid and ask, but the same trade, as a single leg, can't filled without a marketprder Despite all the above, I am happy to see that open option spread positions can currently be closed in Medved Trader.
  2. Would it be easy to add beta weighting portfolio greeks as feature, perhaps to the portfolio window or the account positions window? The formula isn't proprietary, I think, as there are plenty of articles on the web discussing the concept. When we have many positions, one surprisingly effective way to consider portfolio exposure is by beta-weighting each greek of each position to some index, like SPX (user-configurable), then aggregating them (sum, or product, or something else, I'm not sure on the math). I'm not that good of a writer, I thought I'd include this excerpt and link explaining the concept in a different way. Hopefully, it's regarded as still on topic. "Beta weighting is a means for investors to put all of their positions into one standard unit. It is a way to look at an entire portfolio and understand how it will change with a move in the market. It tells us about the size, diversity and general risk of our positions." --from https://www.tastytrade.com/tt/learn/beta-weight Here's a link to a feature request thread of a TWS where users have shared there use cases for this feature and eventually voted it to the top of that platforms feature request list: https://www.interactivebrokers.com/en/index.php?f=2493&sid=8926
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