Wide BID-ASK Protection ALGO stop
under consideration
c
chug
There are times where the bid ask spread explodes with seemingly no underlying movement. Think about the morning of 8/5. You are using algo stops on your DCs & it’s trying to close your position when the bid ask spread is massive leading to potentially a horrible fill. Also, look back to September/October 2024 when people were getting stopped out for 40$ on a 8$stop. This happened numerous times on 3-5point candles. This did NOT happen on SPY/ES. After a handful of seconds, the option price immediately plummets back to fair value after people have gotten destroyed. I’m asking for something to be implemented similar to the other automation platforms like TS. This is a must have IMO for the safety of users who utilize algo stops.
Z
Zom
Definitely a good time to revisit this one in light of the less than optimal chain behavior we've seen intraminute at the exchange level.
I would love to see something like this added as a safety mechanism, even relative to all types of order exits, not exclusive to ALGO stop but even routine exits that could catch a wide quote depending on timing of candle/chain behavior.
I do like the thought of a temporary relax period of safe quotes within threshold before proceeding to exiting progressions.
Thanks!
r
rusty.moorman@optionomega.com
marked this post as
under consideration
D
Denny V
rusty.moorman@optionomega.com if this is still relevant, it might be good to have a patience period in seconds/minutes for Entry and Stop/Exit.
It can be a Global Setting for Trading, just after/below the Alerts.
- Entry Patience Period - if the 'Entry Window (minutes)' spans over 2 or 5 minutes, then the Bot waits for the specified time and then starts Entry.
(if the 'Entry Window (minutes)' is empty, Single Entry Time is chosen, and Patience Period is less than 60 seconds -> start the Entry after the Patience Period until the End of the Minute).
- Stop/Exit Patience Period - if the Exit is triggered (incl. Timed Exit), the Bot waits for the specified time and then starts Exit.
OO has a great logic of marking the Wide Bid/Ask Spread in backtesting, perhaps the same logic could be implemented for Trading? I found Wide Market Protection from CBOE, but I'm not sure if this is the same.
The pictures approximate the idea =)
D
Denny V
Alternatively, the Wide Bid/Ask Protection can be added in the bottom of the Trade Settings: just below the 'Ignore Bidless Longs'. Then the user can have a choice for which Strategy to use the Protection.