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Discussion Starter #1
This is why I love OptionsXpress.

"Walk Limit is an order type that automatically walks option spread orders at successive price increments to try and possibly obtain the best possible execution price within the spread NBBO. Walk Limit uses a maximum of 11 cancel/replace Limit orders starting at the spread NBBO Midpoint price and ending at either the spread NBBO Bid or Ask price depending on the original order entered."

It's new - so it's only for 2-legged spreads at the moment. I want to see them enable this for all orders - it is awesome.

It starts at the midpoint of the NBBO Bid-Ask spread - then picks an end point of the NBBO Bid or Ask (depending on if it's a debit or a credit) and then slices the gap between them into equal parts so that you have a total of 11 orders. It starts by putting a limit order in for 2 seconds, cancels it and replaces it with a new limit order one increment closer to the (let's assume we are buying a call spread - so for a debit) ask by 1 increment and lets it sit for 4 seconds, cancels and walks it up that way adding 2 seconds per increment until you get to the NBBO ask - where it just becomes a regular limit order.

This is nice. I can't wait to try this out - instead of starting with a limit order and modifying it myself over and over it will automate it for me plus do it faster than I could.

humble_pie (and other option practitioners) I am interested in your thoughts on this new order type.
 

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interesting. Sort of a formalized application of what a trader might do himself, but with all numbers more finely minced.

not that i'm hugely for this. My first thought for the mo - will have more later - is that showing a bid or an offer as part of a spread for 2 seconds is not enough time. It's OK for ultra-hi volume US options but not for most options imho.

in spreads i always do the more or most difficult side first, unless some idiot is showing a price that's too good to pass up on the easy side. But usually i have to let my offer (i'd be selling here) sit out there for at least an hour. Sometimes 2 or even 3. After that, if no buyers i'll cancel & maybe try the following day. Unless the underlying is running away from me, in which case i usually give up & go work on some totally different option.

later.
 

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lepht there is something i don't quite understand.

the walking starts at the nbbo mid-point & shows for 2 seconds. Then begins moving by increments closer to the end point, with each incremental price increase being shown with a 2-second time increase.

the part i'm having difficulty with is, shouldn't the time increments of 2 seconds be decreased, not increased ? the mid-point will be the most difficult to achieve, shouldn't the walk as it starts here have the longest time exposure ? & then less & less time at each price point, until finally filling the spread at the natural is achieved ...
 

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Discussion Starter #4
Good idea. Ideally I'd love to be able to place this order and configure the time delays between each division.

Agreed this is only something I'm using on very liquid markets - US stuff only and then for high OI strikes.

I'm looking at a back spread in AAPL with the vol so low, so I'll see if I can try it out.

In terms of fishing over longer periods of time - on the big issues on the US exchanges the MMs are all running computerized HF MM platforms - so 2 seconds can be an eternity.
 

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... 2 seconds can be an eternity.

in the big crowded noisy hyper-liquid option pools, taking a walk will work fine, i'm thinking. But in the smaller, quieter pools where i often fish, i wonder whether it would not frequently result in less profitable spreads.

time & again i've seen a fish swim up to my bait & hover one centimetre away for an hour or even 2. Meanwhile i am occasionally adjusting my price as the underlying stock shifts up or down. Each time i adjust, the fish swims close again.

sometimes i get a sense of willpower at play. The fish's operator is thinking For-crying-out-loud-When-is-this-jerk-going-to-give-it-up. I'm going Stick-a-thumb-in-it.

it's amazing how many times they pay up the price, after maybe an hour. But i don't think any broker could host a walking program that would be so slow-paced; it would hog up too much of their trading operations.
 

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I'll go slightly off-topic here, as I'm potentially interested in opening an account.

Lephturn, are you with the Canadian or American arm of OptionsXpress? (ie. www.optionsxpress.ca versus www.optionsxpress.com)

I noticed that with the Canadian website they also offer registered accounts. I assuming that you are using a cash account (and not a registered account) since you mentioned the call spread.
 

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Discussion Starter #7
The .ca side - I can't have a US account since I live in Canada. When I did it initially they did not do registered, so it's only an open money account.

Further bad news - went to try the new walk-limit order today for an AAPL spread .... and it was not there. Did Live Chat and asked - they said it is not available to "foreign" accounts! Turns out it was accidentally enabled and should have been US only.

Bastards. I don't know why we get shafted. They are a great broker otherwise, but I am tired of not getting all the new stuff.

Anybody using TradeStation?
 

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Discussion Starter #8
Further bad news - went to try the new walk-limit order today for an AAPL spread .... and it was not there. Did Live Chat and asked - they said it is not available to "foreign" accounts! Turns out it was accidentally enabled and should have been US only.
Well I got a pleasant surprise today, OX called me and said they had given me the wrong answer, the Walk Limit was temporarily taken down due to some feedback for a couple of days and is now back up - and I do have access as a Canadian. Good news. I will attempt to try it out sometime next week.
 
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